Maghyereh Aktham, Abdoh Hussein
Department of Accounting and Finance, United Arab Emirates University, Al Ain, United Arab Emirates.
Department of Accounting and Finance, The Citadel: The Military College of South Carolina, Charleston, South Carolina USA.
Empir Econ. 2022;63(6):2875-2901. doi: 10.1007/s00181-022-02223-7. Epub 2022 Mar 13.
We investigate the effects of COVID-19 on volatility connectedness between bitcoin and five traditional financial assets from the gold, oil, foreign exchange, stock, and bond markets, employing high-frequency data. The empirical analyses are carried out using the wavelet coherence approach and dynamic frequency-domain connectedness method. Our results generally indicate that the volatility dynamics between bitcoin and the financial assets are weak or negative before the pandemic while they become positive during the pandemic times for most of the assets. Further, the volatility connectedness for bitcoin-gold and bitcoin-foreign exchange pairs is most significant in the short term, while it is significant in the intermediate term for bitcoin-oil and bitcoin-equity pairs during the pandemic. We examine optimal portfolios to hedge Bitcoin shocks at multiple investment horizons during the pandemic. We find that most of these financial assets perform as a good hedger against Bitcoin shocks in the short and long term but not in the medium term.
我们利用高频数据，研究了新冠疫情对比特币与黄金、石油、外汇、股票和债券市场这五种传统金融资产之间波动连通性的影响。实证分析采用小波相干方法和动态频域连通性方法进行。我们的结果总体表明，在疫情之前，比特币与金融资产之间的波动动态较弱或为负，而在疫情期间，大多数资产的波动动态变为正。此外，比特币与黄金以及比特币与外汇对之间的波动连通性在短期内最为显著，而在疫情期间，比特币与石油以及比特币与股票对之间的波动连通性在中期较为显著。我们研究了在疫情期间多个投资期限内对冲比特币冲击的最优投资组合。我们发现，这些金融资产中的大多数在短期和长期内是对冲比特币冲击的良好工具，但在中期并非如此。
