在COVID-19大流行期间寻找安全避风港资产
Qiang Ji1, Dayong Zhang2, Yuqian Zhao3
1Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, China.
随着COVID-19的流行,传统的避风港资产面临挑战. 黄金和大豆期货证明具有弹性,在市场动荡期间有效地对冲股票指数下跌.
科学领域:
- 金融经济学 金融经济学
- 量化金融 量化金融
- 市场分析市场分析
背景情况:
- COVID-19 疫情引发了前所未有的全球金融动荡,增加了对避风港投资的需求.
- 这场危机的独特性质需要重新评估传统资产的避风港地位,如黄金,加密货币,外汇和商品.
- 在金融危机期间评估资产绩效对于投资组合管理和降低风险至关重要.
研究的目的:
- 在COVID-19大流行期间重新评估传统避风港资产的有效性.
- 引入和应用一个连续的监控程序来检测资产回报量变化.
- 评估避风港资产在股票指数投资组合中抵消尾部风险方面的潜力.
主要方法:
- 利用顺序监测程序来检测资产回报的左方量子位变化.
- 采用交叉量子图分析来比较资产对之间的方向可预测性.
- 在正常市场条件 (2019年8月至12月) 和COVID-19期间 (2019年12月至2020年3月) 分析的资产回报.
主要成果:
- 大多数传统的避风港资产在COVID-19大流行期间表现出效率下降.
- 在整个大流行期间,黄金和大豆商品期货表现出强大的避风港属性.
- 该研究发现,资产回报率的左边量子位数发生了显著变化,这表明市场发生了转变.
结论:
- 黄金和大豆期货保持了它们的避风港角色,在COVID-19危机期间提供了对市场波动的保护.
- 其他传统的避风港资产的有效性因大流行病的独特特征而受到影响.
- 这些发现强调了在动态的市场环境中对避风港资产的持续重新评估的重要性.
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