在地缘政治风险增加的情况下,加密货币和传统金融资产之间的比较投资分析
Mirzat Ullah1,2, Kazi Sohag1, Hossam Haddad3,4
1Graduate School of Economics and Management, Ural Federal University, Yekaterinburg, 620002, Russia.
Heliyon
|May 20, 2024
概括
比特币可以对金融资产进行对冲,但其在危机期间增加的投资增加了波动性. 谨慎的资产配置对于降低风险至关重要,特别是考虑到负面新闻影响.
科学领域:
- 金融经济学 金融经济学
- 量化金融 量化金融
- 风险管理 风险管理
背景情况:
- 2022年俄罗斯-乌克兰冲突给全球金融市场带来了巨大的波动.
- 在地缘政治危机期间,了解加密货币和传统资产之间的相互依存关系至关重要.
研究的目的:
- 调查比特币与主要金融资产 (黄金,股票,债券,美元/卢布汇率) 之间的不对称溢出效应.
- 分析俄罗斯-乌克兰冲突对这些相互依存关系和资产波动性的影响.
- 在危机期间评估比特币的对冲能力和风险贡献.
主要方法:
- 使用每日数据 (2018年1月 - 2023年5月) 进行时间和频率域分析.
- 投资组合损失评估的风险价值 (VaR) 和有条件风险价值 (CVaR) 估计.
- 对不对称的溢出效应和新闻影响的分析.
主要成果:
- 比特币展示了对冲潜力,允许风险多样化.
- 危机期间,比特币投资增加,导致波动性和不确定性增加.
- 负面的新闻对市场的影响要大于积极的新闻.
结论:
- 比特币可以充当多元化工具,但在危机期间,其自身的波动性需要仔细考虑.
- 政策制定者和贸易伙伴需要在俄罗斯经济参与方面制定明确的短期和长期战略.
- 长期政策制定必须考虑到经济不稳定期间的加密货币风险.
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