比特币和黄金的多样化证据来自波形分析
Rubaiyat Ahsan Bhuiyan1, Afzol Husain2, Changyong Zhang1
1Faculty of Business, Curtin University, Miri, Malaysia.
概括
比特币在股票市场上提供了一致的多元化优势,特别是在短期投资方面. 然而,作为多样化工具的有效性在COVID-19大流行和俄罗斯-乌克兰战争等全球危机期间有条件.
科学领域:
- 金融经济学 金融经济学
- 量化金融 量化金融
背景情况:
- 评估比特币作为多元化资产的作用对于现代投资组合管理至关重要.
- 市场波动和地缘政治事件需要重新评估传统的多元化策略.
研究的目的:
- 测量比特币与新兴和发达股票市场的多元化能力.
- 在正常条件和危机时期 (COVID-19,俄罗斯-乌克兰战争) 分析比特币与市场指数的价格一致性.
主要方法:
- 波形分析用于调查比特币与六个代表性市场指数之间的时间频率连贯性.
- 数据从2014年1月9日到2022年5月31日,涵盖了各种市场状况.
主要成果:
- 比特币在检查的市场指数中始终提供多元化优势,在正常市场条件下表现优于黄金.
- 比特币与指数的短期相关性较低,这种好处在黄金中并不总是观察到.
- 比特币和黄金的多样化收益是有条件的,并且在最近的地缘政治危机期间减少.
结论:
- 比特币作为一种有价值的多元化工具,特别是在短期投资领域.
- 投资者在利用比特币进行多元化时应考虑全球地缘政治条件和投资持续时间.
- 该研究强调了资产多样化的动态性质,以应对市场冲击.
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