跨资产和数字资产关注指数中的连接性
Zynobia Barson1, Peterson Owusu Junior1
1Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana.
Heliyon
|October 23, 2023
概括
这项研究揭示了传统和非传统资产之间的相关性越来越大,非可变代币 (NFT) 显示出更高的溢出效应. 由于其独特的特点,监管机构应该监控NFT.
科学领域:
- 金融市场分析 金融市场分析
- 计量经济学 计量经济学
- 数字资产数字资产
背景情况:
- 传统资产和新兴数字资产表现出复杂的相互依赖.
- 了解市场联系对于风险管理和投资策略至关重要.
- 加密货币和数字收藏品的兴起需要新的分析方法.
研究的目的:
- 分析传统资产和非传统资产类别之间的静态和动态联系.
- 调查非可变代币 (NFT),央行数字货币 (CBDC) 注意力和加密货币环境注意力 (ICEA) 指数的溢出效应.
- 评估金融市场的频率依赖关系和时间变化的溢出效应.
主要方法:
- 应用巴鲁尼克-克雷赫利克连接措施.
- 使用波形技术进行静态和滚动窗口分析.
- 对12种传统资产以及NFT,ICEA和CBDC关注指数进行了审查.
主要成果:
- 波段相关性表明短期到长期的高相关性越来越高,DJI和SP500在短期内领先/落后.
- 巴鲁尼克-克雷赫利克技术在更短的频率上显示出更高的溢出效应,随着时间的推移而减少.
- 非性代币关注指数 (NFTAI) 显示出比CBDC和ICEA关注指数更大的基于频率的时间变化的溢出效应.
结论:
- 与其他数字资产关注指数相比,NFT显示出显著而独特的溢出动态.
- 在分析的资产中,对特定和频率依赖的连接是显而易见的.
- 由于其非可替代性和不可互换性,NFT需要受到监管的关注,这会影响所有权的可转让性.
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