加密货币与股票市场风险相关性研究

Research on the Risk Correlation Between Cryptocurrencies and Stock Market

随着加密货币价格不断攀升和市值剧烈波动,加密货币挖矿和交易所蕴藏的高风险已引起监管部门高度关注。本文选取2014年1月至2021年5月比特币和纳斯达克综合指数的交易数据,基于比特币的价格波动趋势,将样本划分为2014—2017年、2018—2019年、2020—2021年3个样本组,使用收益率和收益率的波动率两类指标,研究比特币与股票市场风险的相关性。基于长短窗口期内的格兰杰因果检验和基于GED分布的GARCH模型回归后,发现:在比特币价格剧烈波动时期,比特币收益率与纳斯达克综合指数收益率显著正相关;自2018年比特币价格出现高位震荡后,比特币收益率的波动率与纳斯达克综合指数收益率的波动率显著正相关。本文的研究证明比特币与股票市场存在价格联动,比特币对股票市场收益率有预测作用,比特币市场风险可以传导至股票市场。

High risk of cryptocurrencies mining and exchange has attracted the attention of the regulator,as the price of cryptocurrencies keeps rising and its market value fluctuates violently.This paper selects the transaction data of Bitcoin and the Nasdaq Composite Index from January 2014 to May 2021.Based on the price fluctuation of Bitcoin,the samples are divided into three sample groups:2014-2017,2018-2019 and 2020-2021.We use two indicators,return and volatility,to study the risk correlation between Bitcoin and stock market.After granger causality test in long and short windows and the regression on GARCH model based on GED distribution,the research finds that during the period of price fluctuating wildly,the return of Bitcoin and the Nasdaq Composite Index are significantly positively correlated.Since the price of Bitcoin had high volatility in 2018,the volatility of Bitcoin is significantly positively correlated with the volatility of the Nasdaq Composite Index.The results imply that there is a price linkage between Bitcoin and stock market.Bitcoin can predict the return of stock market.The risk of Bitcoin market can also be transmitted to stock market.