在新冠疫情期间，比特币和以太坊对股票而言是避险资产吗？
Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
作者信息
Dwita Mariana Christy, Ekaputra Irwan Adi, Husodo Zaäfri Ananto
机构信息
Faculty of Economics and Business, Universitas Indonesia, Indonesia.
Universitas Agung Podomoro, Jakarta, Indonesia.
出版信息
Financ Res Lett. 2021 Jan;38:101798. doi: 10.1016/j.frl.2020.101798. Epub 2020 Oct 16.
Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively during the pandemic. The regression results also robustly support the safe-haven features and uncover that Ethereum is possibly a better safe-haven than Bitcoin. However, we note that both coins exhibit high volatilities. Before (during) the pandemic daily volatilities of Bitcoin, Ethereum, gold, and the S&P500 are 3.44% (9.11%), 4.34% (10.96%), 0.89% (2.19%), and 1.27% (6.07%), respectively.
利用世界卫生组织关于新冠疫情的声明，我们将比特币和以太坊作为股票的避险资产进行测试。我们发现，这两种最大的加密货币适合作为短期避险资产。动态条件相关（DCC）和交叉动态条件相关（cDCC）结果表明，在疫情期间，它们的日回报率往往与标准普尔500指数回报率呈负相关。回归结果也有力地支持了避险资产特征，并发现以太坊可能比比特币更适合作为避险资产。然而，我们注意到这两种加密货币都表现出高波动性。在疫情之前（期间），比特币、以太坊、黄金和标准普尔500指数的日波动率分别为3.44%（9.11%）、4.34%（10.96%）、0.89%（2.19%）和1.27%（6.07%）。
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