Garcia-Jorcano Laura, Benito Sonia
Department of Economic Analysis and Finance, Facultad de Ciencias Juridicas y Sociales, Universidad de Castilla-La Mancha, Cobertizo de San Pedro Martir s/n, 45071, Toledo, Spain.
Department of Economic Analysis, Faculty of Economics and Business Administration, Universidad Nacional de Educación a Distancia (UNED), Senda del Rey, 11, 28040, Madrid, Spain.
Res Int Bus Finance. 2020 Dec;54:101300. doi: 10.1016/j.ribaf.2020.101300. Epub 2020 Aug 1.
In this study, we analyze the properties of Bitcoin as a diversifier asset and hedge asset against the movement of international market stock indices: S&P500 (US), STOXX50 (EU), NIKKEI (Japan), CSI300 (Shanghai), and HSI (Hong Kong). For this, we use several copula models: Gaussian, Student-t, Clayton, Gumbel, and Frank. The analysis period runs from August 18, 2011 to June 31, 2019. We found that the Gaussian and Student-t copulas are best at fitting the structure dependence between markets. Also, these copulas suggest that under normal market conditions, Bitcoin might act as a hedge asset against the stock price movements of all international markets analyzed. However, the dependence on the Shanghai and Hong Kong markets was somewhat higher. Also, under extreme market conditions, the role of Bitcoin might change from hedge to diversifier. In a time-varying copula analysis, given by the Student-t copula, we found that even under normal market conditions, for some markets, the role of Bitcoin as a hedge asset might fail on a high number of days.
在本研究中,我们分析了比特币作为一种多元化资产和针对国际市场股票指数走势的避险资产的特性:标准普尔500指数(美国)、斯托克50指数(欧盟)、日经指数(日本)、沪深300指数(上海)和恒生指数(香港)。为此,我们使用了几种Copula模型:高斯模型、学生t分布模型、克莱顿模型、冈贝尔模型和弗兰克模型。分析期从2011年8月18日至2019年6月31日。我们发现高斯Copula模型和学生t分布Copula模型最能拟合市场之间的结构依赖性。此外,这些Copula模型表明,在正常市场条件下,比特币可能作为针对所有分析的国际市场股价走势的避险资产。然而,对比上海和香港市场的依赖性略高。此外,在极端市场条件下,比特币的角色可能从避险资产转变为多元化资产。在由学生t分布Copula模型进行的时变Copula分析中,我们发现即使在正常市场条件下,对于某些市场,比特币作为避险资产的角色可能在大量日子里失效。