COVID-19疫情期间比特币与中国金融市场主要资产的关系研究  

The Relationship between Bitcoin and Chinese Financial Markets During COVID-19

作　　者：李嘉弘 李平[1,2] Li Jiahong;Li Ping(School of Economics and Management,Beihang University,Beijing 100191;Key Laboratory of Complex System Analysis,Management and Decision(Beihang University),Ministry of Education,Beijing 100191)

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京航空航天大学复杂系统分析与管理决策教育部重点实验室,北京100191

出　　处：《管理评论》2021年第11期286-297,共12页Management Review

基　　金：国家自然科学基金项目(72033001,71571008)。

摘　　要：COVID-19疫情席卷全球,给国际金融行业带来了一场危机。由于对比特币关注度的提高及中国金融市场主要资产的不断发展,比特币市场与中国金融市场主要资产间的联系日益紧密,市场间的风险传导效应也在扩大。因此本文拟研究COVID-19疫情期间比特币与中国金融市场主要资产的相互作用,进而了解风险的作用机理。本文首先使用含有与疫情相关的虚拟变量的三个GARCH族模型,对比特币与中国金融市场主要资产之间是否存在杠杆效应进行研究。结果显示,GJR-GARCH-t模型的拟合效果最好,意味着市场间存在杠杆效应。之后,通过计算VaR、CVaR和信息冲击曲线,对比特币与中国金融市场主要资产的风险关系进行研究。实证结果表明,基于Cornish-Fisher法计算的VaR和CVaR值对比特币风险的估计更合理;比特币在市场处于危机时风险会急剧加大,比特币的波动性对大部分资产的利空消息比利好消息更为敏感,因此需要合理配置资产来规避风险。The outbreak of COVID-19 brought a crisis to the global financial market.Due to the arising attention on Bitcoin and the continuous development of Chinese market,the connections between the Bitcoin market and main assets of Chinese financial market are getting closer,and the risk transmission effect between the two markets is also expanding.Therefore,this paper investigates the interaction between the two markets to understand the mechanism of risk.We first use three GARCH family models containing dummy variables related to the epidemic to study whether there are leverage effects between the Bitcoin and main assets of Chinese financial markets.Results show that the GJR-GARCH-t model fits the best meaning that there is leverage effect between them.Then we study the risk relationship between the two markets by calculating VaR,CVaR and utilizing the information shock curve.Empirical results show that the VaR and CVaR calculated based on Cornish-Fisher expansion have a more reasonable estimation of Bitcoin risk.Furthermore,the risk of Bitcoin market increased sharply during the crisis,and the volatility of Bitcoin price was much more sensitive to bad news than to good news.So,it’s necessary to allocate assets reasonably to avoid risk.

关 键 词：COVID-19疫情 比特币 中国金融市场 GJR-GARCH模型 风险 

分 类 号：F821[经济管理—财政学] F49F832.5