Based on daily data about Bitcoin and six other major financial assets(stocks,commodity futures(commodities),gold,foreign exchange(FX),monetary assets,and bonds)in China from 2013 to 2017,we use a VAR-GARCH-BEKK model...Based on daily data about Bitcoin and six other major financial assets(stocks,commodity futures(commodities),gold,foreign exchange(FX),monetary assets,and bonds)in China from 2013 to 2017,we use a VAR-GARCH-BEKK model to investigate mean and volatility spillover effects between Bitcoin and other major assets and explore whether Bitcoin can be used either as a hedging asset or a safe haven.Our empirical results show that(i)only the monetary market,i.e.,the Shanghai Interbank Offered Rate(SHIIBOR)has a mean spillover effect on Bitcoin and(ii)gold,monetary,and bond markets have volatility spillover effects on Bitcoin,while Bitcoin has a volatility spillover effect only on the gold market.We further find that Bitcoin can be hedged against stocks,bonds and SHIBOR and is a safe haven when extreme price changes occur in the monetary market.Our findings provide useful information for investors and portfolio risk managers who have invested or hedged with Bitcoin.展开更多
基金This work was supported by the National Natural Science Foundation of China(Grant Nos.71871088,71501066,71971079,and 71521061)the Huxiang Youth Talent Support Program,and the Hunan Provincial Natural Science Foundation of China(Grant No.2017JJ3024).
文摘Based on daily data about Bitcoin and six other major financial assets(stocks,commodity futures(commodities),gold,foreign exchange(FX),monetary assets,and bonds)in China from 2013 to 2017,we use a VAR-GARCH-BEKK model to investigate mean and volatility spillover effects between Bitcoin and other major assets and explore whether Bitcoin can be used either as a hedging asset or a safe haven.Our empirical results show that(i)only the monetary market,i.e.,the Shanghai Interbank Offered Rate(SHIIBOR)has a mean spillover effect on Bitcoin and(ii)gold,monetary,and bond markets have volatility spillover effects on Bitcoin,while Bitcoin has a volatility spillover effect only on the gold market.We further find that Bitcoin can be hedged against stocks,bonds and SHIBOR and is a safe haven when extreme price changes occur in the monetary market.Our findings provide useful information for investors and portfolio risk managers who have invested or hedged with Bitcoin.
