比特币与黄金避险功能的差异研究--基于VAR-BEKK-GARCH模型  

Research on the Difference of Bitcoin and Gold Hedging Function:Based on VAR-BEKK-GARCH Model

作　　者：王倩[1,2] 杜卓雅 WANG Qian;DU Zhuoya(China Center for Public Sector Economy Research,Jilin University,Changchun 130012,China;School of Economics,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学中国国有经济研究中心,长春130012 [2]吉林大学经济学院,长春130012

出　　处：《管理科学》2022年第2期134-146,共13页Journal of Management Science

摘　　要：黄金凭借其内在价值和在金融危机中的良好表现,被当作对冲不确定性的避险工具。次贷危机后,伴随着泡沫破灭、纸币贬值,货币发行和交易去中心化的呼声越来越高。在此背景下诞生的比特币倍受投资者关注。比特币凭借稀缺性、耐久性和全球性等特性,被冠以“数字黄金”称号。已有研究围绕比特币的属性展开探讨,认为理论上比特币可以作为某些资产的对冲工具,但缺乏实证支撑,更缺乏对“数字黄金”与黄金的对比分析。基于波动性理论,以2015年7月1日至2019年12月31日中国比特币市场、黄金市场、股票市场、债券市场、期货市场和外汇市场的每日对数收益率为样本,将指标分为比特币组和黄金组,利用五元VAR-BEKK-GARCH(1,1)模型,探讨两个潜在避险资产与股票市场、债券市场、期货市场、外汇市场之间是否存在均值溢出效应和波动溢出效应,并进行联合显著性检验和稳健性检验。研究结果表明,比特币是高收益、高风险的投资资产,适合高净值投资者;比特币与各个资产的对数收益率互不影响,出于多元化的目的,比特币可以作为资产配置中的一部分;外汇市场对数收益率与黄金市场对数收益率互不影响,已经持有外汇的投资者可以增持黄金;比特币可以对冲期货市场和外汇市场的投资风险,黄金可以对冲股票市场、债券市场和期货市场的投资风险。探讨比特币作为“数字黄金”的属性,并强调了比特币与黄金相比具有的低成本和易分割特性,为研究数字货币提供借鉴;利用实证分析,证实比特币具有对冲传统金融市场风险的避险功能,得到数字货币可以对冲的资产种类,并对比分析“数字黄金”与黄金避险功能的差异,从实证角度丰富了数字货币的应用理论;为投资者资产配置和避险选择提供理论指导。With its intrinsic value and good performance in the financial crisis, gold has been used as a hedge tool against uncertainty. After the “subprime mortgage crisis”, with the burst of bubbles and the depreciation of paper currency, the call for decentralization of issuance and trading of currency is increasing. Bitcoin, given this background, has attracted much attention from investors. Bitcoin is nicknamed “Digital Gold” for its scarcity, durability, and global characteristics. Existing research focuses on the properties of bitcoin, and believes that in theory bitcoin can be used as a hedge tool for certain assets, but lacks empirical support and a comparative analysis between “Digital Gold” and gold.Based on the theory of spillover effect, taking the daily logarithm yield of bitcoin market, gold market, stock market, bond market, futures market and exchange market from July 1, 2015 to December 31, 2019 as samples, the indexes are divided into digital currency group and gold group. Using VAR-BEKK-GARCH(1, 1) model, this study discusses whether there are mean spillover effect and volatility spillover effect between two hedging tools and stock market, bond market, futures market, exchange market, and conducts joint significance test and robustness tests.This study finds that bitcoin is an investment asset with high return and high risk, which is suitable for high net worth investors. The logarithm rate of return of bitcoin and various assets does not affect each other. For the purpose of diversification,bitcoin can be used as a part of asset allocation. The logarithm rate of return of foreign exchange market and the gold market do not affect each other, and investors who have held foreign exchange can increase their holdings of gold. Bitcoin can hedge the investment risk of futures market and exchange market. Gold can hedge the investment risk of stock market, bond market and futures market.This study discusses the reasons why bitcoin can be called “Digital Gold”, clarifies the special effect of bit

关 键 词：避险工具 均值溢出效应 波动溢出效应 联合显著性检验 资产配置 

分 类 号：F830.9[经济管理—金融学]