数字货币与传统金融资产间的多标度交互相关性研究  

Research on Multi-scale Cross-correlation between Digital Currency and Traditional Financial Assets

作　　者：贾娜 JIA Na(Jincheng College of Sichuan University)

机构地区：[1]四川大学锦城学院

出　　处：《商展经济》2021年第12期68-70,共3页Trade Fair Economy

摘　　要：随着“数字货币”这类新型资产的发展与兴起,其与传统资产之间的区别及其相关关系受到了投资界和学术界的广泛关注。本文选用我国的上证综指、贵金属黄金作为传统资产代表,以上证综指、黄金与数字货币的日收益率序列为研究对象,运用多标度多重分形去趋势交互相关分析(MM-DCCA)法,在不同标度下,使用滑动窗技术,生成Hurst曲面可视化分析这三种资产两两之间的非线性动力学关系。实证结果表明,三种资产的收益率均存在多重分形特征,黄金的市场效率最强,上证综指的市场效率次之,而数字货币的市场效率最弱。此外,三种资产的交互相关性在不同标度下呈现不同的分形特征。相比较而言,黄金与数字货币之间的交互相关性最强,且有数字货币参与的资产组合其交互相关性是较不稳定的。With the development and rise of new assets such as digital currency,the difference between digital currency and traditional assets and the relationship between them have been widely concerned by the investment and academic circles.This paper selects the Shanghai Composite Index and precious metal gold as the representative of traditional assets,takes the daily return series of Shanghai Composite Index,gold and digital currency as the research object,uses MM-DCCA method to generate Hurst surface under different scales,and visually analyzes the nonlinear dynamic relationship between the three kinds of assets.The empirical results show that the returns of three kinds of assets have multifractal characteristics.The market efficiency of gold is the strongest,followed by that of Shanghai Composite Index,and that of digital currency is the weakest.In addition,the cross-correlation of the three assets presents different fractal characteristics in different scales.In comparison,the cross-correlation between gold and digital currency is the strongest,and the cross-correlation of portfolio with digital currency is more unstable.

关 键 词：数字货币 上证综指 黄金 交互相关性 多标度分析 

分 类 号：F830[经济管理—金融学]