Evaluating the Efficiency of Financial Assets as Hedges against Bitcoin Risk during the COVID-19 Pandemic
學年 111
學期 2
出版（發表）日期 2023-06-29
作品名稱 Evaluating the Efficiency of Financial Assets as Hedges against Bitcoin Risk during the COVID-19 Pandemic
作品名稱（其他語言）
著者 Li Wei; Ming-Chih Lee; Wan-Hsiu Cheng; Chia-Hsien Tang; Jing-Wun You
單位
出版者
著錄名稱、卷期、頁數 Mathematics 11, 2917.
摘要 In the turbulent landscape of financial markets, Bitcoin has emerged as a significant focus for investors due to its highly volatile returns. However, the risks and uncertainties associated with it necessitate effective hedging strategies. This paper explores the potential of various financial assets, including interest rates, stock markets, commodities, and exchange rates, as dynamic hedges against Bitcoin’s risk. Utilizing a DCC-GARCH model, we construct a dynamic hedging model to analyze the viability of these financial assets as hedges. The data is categorized into pre-pandemic and pandemic periods to assess any change in hedging performance due to the outbreak of COVID-19. Our empirical findings suggest that the dynamic DCC-GARCH model outperforms the static OLS model in this context. During the pandemic period, a diverse set of financial assets demonstrated enhanced efficiency in hedging Bitcoin risk compared to the pre-pandemic phase. Among the hedging commodities, stock market indices, the US dollar index, and commodity futures displayed superior performance.
關鍵字 cryptocurrency risk; financial volatility; dynamic hedging; COVID-19 impact; DCC-GARCH model
語言 en
ISSN 2227-7390
期刊性質 國外
收錄於 Scopus NotTSSCI
產學合作
通訊作者
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/126753 )