在科技股,加密货币和NFT中是否存在回报和波动性溢出效应?
Tugba Bas1, Issam Malki2, Sheeja Sivaprasad2
1Faculty of Economics, Administrative and Social Sciences, Istanbul Nisantasi University, Turkiye.
Heliyon
|February 5, 2024
概括
技术股,加密货币和非可变代币 (NFT) 显示出强大的内部联系,但它们之间的联系较弱. 建议多元化管理这些不同数字资产市场的风险.
科学领域:
- 金融市场分析 金融市场分析
- 数字资产互联互连性
背景情况:
- 人们对科技股,加密货币和NFT越来越感兴趣.
- 需要了解这些不同的资产类别的相互联系.
研究的目的:
- 检查技术股,加密货币和NFT之间的联系.
- 评估结构性破坏对资产连接性的影响.
- 为投资组合多样化策略提供信息.
主要方法:
- 分析每日回报率和风险数据.
- 矢量自回归模型 (VAR) 的应用.
- 识别和分析结构性断裂.
主要成果:
- 在资产类别 (股票,加密货币,非虚拟货币) 中观察到强烈的联系.
- 发现不同资产类别之间存在较弱的联系.
- 结构性断裂并没有显著改变连接程度.
结论:
- 技术股,加密货币和NFT之间的互连性是有限的.
- 调查结果表明,这些市场之间的相关性很低.
- 建议进行投资组合多元化以减轻风险.
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