指数期货崩风险对比特币期货回报率和波动性的影响
Chia-Hsien Tang1, Yen-Hsien Lee2, Ya-Ling Huang3
1Economics and Management Department, Guangxi Minzu Normal University, Chongzuo, Guangxi, China.
Heliyon
|January 31, 2024
概括
电子迷你标准普尔500指数的崩风险影响比特币期货的波动性,而不是回报. 全球市场的起降低了比特币期货的波动性,这表明它在不稳定时期的对冲潜力.
科学领域:
- 量化金融 量化金融
- 金融市场分析 金融市场分析
背景情况:
- 传统金融市场和加密货币之间的相互作用越来越重要.
- 了解系统性风险传播对于市场稳定至关重要.
研究的目的:
- 为了调查E-mini S&P 500期货崩风险对比特币期货的影响.
- 评估比特币期货作为对抗市场动荡的对冲工具的潜力.
主要方法:
- 对E-mini S&P 500期货和比特币期货数据 (2017-2021) 的时间序列分析.
- 计量经济学建模用于量化关系和波动性溢出效应.
主要成果:
- 电子迷你标准普尔500指数的崩风险与比特币期货波动性有显著的相关性,特别是在重大全球事件期间.
- E-mini S&P 500崩风险对比特币期货回报没有显著影响.
- 全球和新兴市场指数的增加与比特币期货波动率的下降有关.
结论:
- 比特币期货表现出对冲性质,特别是在经济不确定性时期.
- 投资者可以利用E-mini S&P 500崩风险作为比特币期货波动性的指标.
- 调查结果为波动性市场的交易策略和风险管理提供了信息.
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