新冠疫情期间黄金与比特币对中国股市的避险差异研究——基于DCC-GARCH t-Copula模型
The Different Safe Haven Property of Gold and Bitcoin on the Chinese Stock Market:Based on the DCC-GARCH t-Copula Model
高大良 1童茜2
作者信息
- 1. 三亚学院盛宝金融科技商学院,三亚 572022
- 2. 中南大学商学院,长沙 410083
- 折叠
摘要
新冠肺炎疫情的爆发给中国股市带来了一场危机,投资者对避险资产的选择也逐渐引发关注.文章通过DCC-GARCH t-copula模型检验了新冠肺炎期间黄金和比特币分别对中国股票市场的避险差异.结果表明,平均来看新冠疫情期间黄金是比比特币更优的避险资产,这是因为黄金比比特币有更低的平均套期保值比率,可以提供更廉价的对冲,并且与同样的股票行业指数组成的投资组合中黄金所需占比比比特币低.最优对冲比率和投资组合权重的动态波动性也进一步表明投资者需要积极地重新平衡他们的投资组合,而不是采用静态方法.
Abstract
The COVID-19 pandemic brings a crisis to China's stock market,and investor's choice of safe haven assets is increasingly attracting attention.This paper uses the DCC-GARCH t-copula model to test the safe haven property between gold and bitcoin in China's stock market during the COVID-19 pandemic.The results show that gold is a better safe haven asset than bitcoin on average,because gold has a lower average hedging ratio than bitcoin,provides a cheaper hedge,and requires a lower proportion of gold than bitcoin in a portfolio with the same stock industry index.The dynamic volatility of optimal hedging ratios and portfolio weights also further points to the need for investors to actively rebalance their portfolios rather than adopt a static approach.
关键词
黄金/比特币/中国股票市场/对冲比率/资产组合Key words
Gold/bitcoin/China's stock market/hedging ratio/asset portfolio引用本文复制引用
出版年
2024
NETL
NSTL
万方数据