文件夹
经济
数字加密货币
货币经济学
虚拟货币
货币
多元化(营销策略)
数字货币
金融经济学
业务
计算机科学
万维网
营销
作者
Khaled Guesmi,Samir Saadi,Ilyes Abid,Zied Ftiti
标识
DOI:10.1016/j.irfa.2018.03.004
摘要
Abstract The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we explore the conditional cross effects and volatility spillover between Bitcoin and financial indicators using different multivariate GARCH specifications. The nature of interaction between Bitcoin and financial variables and their transmission mechanisms are taken into account when analyzing the diversification and hedging effectiveness across gold asset and stock market. Our findings suggest that all models confirm the significant returns and volatility spillovers. More importantly, we find that VARMA (1,1)-DCC-GJR-GARCH is the best-fit model for modeling the joint dynamics of a variety of financial assets. We also show that a short position in the Bitcoin market allows hedging the risk investment for all different financial assets. Finally, hedging strategies involving gold, oil, equities and Bitcoin reduce considerably the portfolio's risk, as compared to the risk of the portfolio made up of gold, oil and equities only.
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