Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin

被引：89
作者：
Chan, Wing Hong [1 ]
Minh Le [1 ]
Wu, Yan Wendy [1 ]
机构：
[1] Wilfrid Laurier Univ, Dept Econ, Sch Business & Econ, Waterloo, ON N2L 3C5, Canada
来源：
QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 2019年 / 71卷
关键词：
Bitcoin; Hedge; Risk management; Cryptocurrency; Frequency; Dependent; Frequency decomposition; SAFE HAVEN; GOLD;
D O I：
10.1016/j.qref.2018.07.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency. (C) 2018 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
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收藏
页码：107 / 113
页数：7
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