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黄金还是比特币，哪一个是新冠疫情期间的避风港？

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

作者信息

Wen Fenghua, Tong Xi, Ren Xiaohang

机构信息

School of Business, Central South University, Changsha, Hunan 410083, China.

School of Finance, Shanghai Lixin University of Accounting and Finance, Shanghai 201209, China.

出版信息

Int Rev Financ Anal. 2022 May;81:102121. doi: 10.1016/j.irfa.2022.102121. Epub 2022 Mar 29.

DOI:10.1016/j.irfa.2022.102121
PMID:36536769
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC8964013/
Abstract

This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.

摘要

本研究通过时变参数向量自回归方法，比较了新冠疫情期间黄金和比特币价格对石油市场和股票市场的动态溢出效应。时变和时间点结果均表明，在新冠疫情期间，黄金是石油市场和股票市场的避险资产。然而，与黄金不同的是，比特币的反应则相反，不具备避险资产属性。进一步分析表明，当疫情严重蔓延时，黄金对股票市场的避险效应会增强。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cc153388db0d/gr11_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cfd41448e626/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/a20b26fb2ffc/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/c954d8b1a7e3/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/38cc9bb2f98d/gr4_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cdd9bcd5eba2/gr5_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/3f8aa4e0474a/gr6_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/d9bbb05264f4/gr7_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/0f3fd276d440/gr8_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/8beb6d026659/gr9_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/af87e6cb8ed1/gr10_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cc153388db0d/gr11_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cfd41448e626/gr1_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/a20b26fb2ffc/gr2_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/c954d8b1a7e3/gr3_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/38cc9bb2f98d/gr4_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cdd9bcd5eba2/gr5_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/3f8aa4e0474a/gr6_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/d9bbb05264f4/gr7_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/0f3fd276d440/gr8_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/8beb6d026659/gr9_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/af87e6cb8ed1/gr10_lrg.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/84a0/8964013/cc153388db0d/gr11_lrg.jpg

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