加密货币与传统金融资产市场的动态相关性研究--基于t-Copula-DCC-GARCH的实证分析

Research on the Dynamic Correlation Between Cryptocurrency and Traditional Financial Asset Market--Empirical Analysis Based on t-Copula-DCC-GARCH

本文基于2015年8月至2020年4月的日交易数据,构建t-Copula-DCC-GARCH模型,实证考察比特币、以太坊、瑞波币、标准普尔500指数、COMEX黄金期货、WTI原油期货市场之间的动态相关性以及时变波动性,并结合套期保值理论探究加密货币对冲传统金融资产的效率。研究发现,三种加密货币之间价格波动存在显著的正向关联,具有自身难以对冲的特质风险;而加密货币与传统金融资产市场之间却相对隔离,瑞波币、比特币、以太坊分别是股票、黄金、原油的最有效对冲资产。

」Based on the daily trading data from August 2015 to April 2020,this paper constructs a t-Copula-DCC-GARCH model to empirically investigate the dynamic correlation and time-varying volatility among bitcoin,Ethereum,Ripple,S&P 500 index,Comex gold futures and WTI crude oil futures markets,and explores the efficiency of cryptocurrency hedging traditional financial assets in combination with hedging theory.It is found that there is a significant positive correlation among the price fluctuations in the three cryptocurrencies,which has its own characteristic risk that is difficult to hedge;cryptocurrency is relatively isolated from the traditional financial asset market.Ripple,bitcoin and Ethereum are the most effective hedging assets of stocks,gold and crude oil respectively.