COVID-19大流行对加密货币市场的短期影响:DCC-GARCH模型分析分析
Kais Ben-Ahmed1,2, Saliha Theiri3, Naziha Kasraoui3
1Department of Finance, College of Business, University of Jeddah, Saudi Arabia.
Heliyon
|August 28, 2023
概括
COVID-19大流行最初降低了加密货币的波动性,但只对回报和波动性产生了短期影响,为投资者投资组合优化提供了洞察力.
科学领域:
- 金融经济学 金融经济学
- 量化金融 量化金融
- 加密货币市场 加密货币市场
背景情况:
- 随着COVID-19的流行,全球经济出现了前所未有的不确定性.
- 了解健康危机对金融市场的影响,特别是像加密货币这样的新兴市场,至关重要.
- 之前的研究已经探讨了各种金融资产,但对主要加密货币的具体影响需要详细分析.
研究的目的:
- 调查新冠肺炎疫情对十大加密货币的回报和波动的影响.
- 分析流行病对加密货币市场动态的短期和长期影响.
- 为在不确定的经济环境中构建投资组合的投资者提供数据驱动的洞察力.
主要方法:
- 应用一个多变量波动的通用自回归条件异构性 (GARCH) 模型.
- 集成动态条件相关性 (DCC) 方法来分析2020年1月至12月的每日加密货币数据.
- 使用格兰杰因果关系测试来检查加密货币回报率和交易量之间的关系.
主要成果:
- 在2020年3月11日世界卫生组织宣布流行病后,观察到加密货币波动率的显著下降.
- 与之前的一些研究相反,COVID-19危机对加密货币回报和波动性表现出主要的短期影响.
- 由于大流行,没有发现对加密货币回报或波动性产生重大长期不利影响.
结论:
- COVID-19大流行对加密货币市场行为产生了暂时的影响.
- 投资者可以利用这些发现来建立更有弹性的投资组合,考虑到流行病引起的波动性是短暂的.
- 该研究强调了全球健康事件与数字资产市场之间的动态关系.
相关概念视频
Time-Series Graph
4.4K
A time-series graph is a line graph with repeated measurements taken at successive intervals of time. It is also called a time series chart. To construct a time-series graph, one must look at both pieces of a paired data set. The horizontal axis is used to plot the time increments, and the vertical axis is used to plot the values of the variable that one is measuring. By using the axes in this way, each point on the graph will correspond to time and a measured quantity. The points on the graph...
4.4K
Drug Concentration Versus Time Correlation
870
The plasma drug concentration-time curve is a crucial tool in pharmacokinetics, representing the drug's concentration in plasma at different time intervals post-administration. This curve illustrates the drug's journey from absorption into the systemic circulation, distribution to body tissues, and eventual elimination through excretion or biotransformation.
Two pivotal parameters are the minimum effective concentration (MEC) and the minimum toxic concentration (MTC). The MEC is the...
Two pivotal parameters are the minimum effective concentration (MEC) and the minimum toxic concentration (MTC). The MEC is the...
870
Pareto Chart
6.7K
A Pareto chart is a bar graph or a combination of both line and bar graphs. The bar lengths represent the individual values or the frequency, while the lines represent the cumulative total values. In this chart, the longest bars are arranged on the left and the shortest bars on the right, which makes it easier to read and interpret the data. It can also be called a Pareto diagram or Pareto analysis.
The Pareto chart is named after the Italian economist Vilfredo Pareto, who described the Pareto...
The Pareto chart is named after the Italian economist Vilfredo Pareto, who described the Pareto...
6.7K
Parametric Survival Analysis: Weibull and Exponential Methods
470
Parametric survival analysis models survival data by assuming a specific probability distribution for the time until an event occurs. The Weibull and exponential distributions are two of the most commonly used methods in this context, due to their versatility and relatively straightforward application.
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
Weibull Distribution
The Weibull distribution is a flexible model used in parametric survival analysis. It can handle both increasing and decreasing hazard rates, depending on its shape parameter...
470

