Wasiuzzaman Shaista, Haji Abdul Rahman Hajah Siti Wardah
School of Business, Universiti Teknologi Brunei, Jalan Tungku Link, Bandar Seri Begawan, Brunei Darussalam.
Financ Res Lett. 2021 Nov;43:101958. doi: 10.1016/j.frl.2021.101958. Epub 2021 Feb 5.
This study is aimed at investigating the performance of Gold-backed cryptocurrencies during the COVID-19 crisis and in particular, during the bear market of 2020. Analysis is conducted on the daily returns of PAX Gold from 2 October 2019 to 28 September 2020 using the ARMA-GARCH model. The results are compared with those of Paxos Standard (PAX) and Gold during the same period. The results show the mean returns of the three financial instruments increase during crisis periods but the increase is insignificant. PAX Gold experiences increased volatility during the COVID-19 crisis and the bear market but the increase is insignificant.
本研究旨在调查黄金支持的加密货币在新冠疫情危机期间,特别是在2020年熊市期间的表现。使用自回归移动平均广义自回归条件异方差(ARMA-GARCH)模型,对2019年10月2日至2020年9月28日期间PAX Gold的每日回报进行分析。将结果与同期的Paxos Standard(PAX)和黄金的结果进行比较。结果表明,这三种金融工具的平均回报在危机期间有所增加,但增幅不显著。PAX Gold在新冠疫情危机和熊市期间波动性增加,但增幅不显著。