加密数字货币市场模糊性溢价检验及其驱动因素研究  

Research on the Examination of Ambiguity Premium in the Cryptocurrency Market and Its Driving Factors

作　　者：郭文旌[1] 刘凯 GUO Wenjing;LIU Kai(School of Finance,Nanjing University of Finance and Economics)

机构地区：[1]南京财经大学金融学院

出　　处：《金融经济》2024年第9期17-31,共15页Finance Economy

基　　金：国家社科基金项目“网络背景下关联主体间风险溢出效应研究”(19FGLB037);江苏省社科基金项目“重大疫情下粮食价格波动及风险行为对冲策略研究”(20EYB008)。

摘　　要：在加密数字货币市场与现代金融经济联结程度不断深化的背景下,本文聚焦同时具备高创新性与高风险性的加密数字货币市场模糊性溢价问题进行研究,利用不确定概率条件下的预期效用理论(EUUP)测度模糊性,借助比特币的日内5分钟高频交易数据、向量自回归及规则回归的方法检验加密数字货币市场模糊性溢价的存在,并分析其驱动因素。研究发现,加密数字货币市场确实存在模糊性溢价,且其大小和方向受市场有利收益概率的影响;从市场整体状况来看,投资者情绪对市场的模糊性溢价有着很强的解释力。区分市场收益状况的异质性分析说明,若市场状况较好,则恐惧情绪会对其模糊性溢价产生显著抑制作用;若市场状况较差,则贪婪情绪会对其模糊性溢价产生显著抑制作用。本文从市场监管及投资者行为等角度提出政策建议,为加密数字货币市场的稳定发展与风险防范提供了新的解读。As the cryptocurrency market becomes increasingly intertwined with modern financial economics,this paper addresses the issue of ambiguity premium in the cryptocurrency market,which is characterized by high innovation and high risk.Utilizing the Expected Utility Theory under Uncertainty Probability(EUUP)to measure ambiguity,and employing high-frequency trading data of Bitcoin at 5-minute intervals,vector autoregression,and rule regression methods,we examine the existence of ambiguity premium in the cryptocurrency market and analyze its driving factors.The study finds that there is indeed an ambiguity premium in the cryptocurrency market,and its magnitude and direction are influenced by the probability of favorable market returns.From the overall market perspective,investor sentiment has a strong explanatory power regarding the ambiguity premium.When distinguishing market return conditions,if the market is performing well,fear sentiment significantly suppresses the ambiguity premium;conversely,if the market is performing poorly,greed sentiment significantly suppresses the ambiguity premium.This paper offers policy recommendations from the perspectives of market regulation and investor behavior,providing new insights for the stable development and risk prevention of the cryptocurrency market.

关 键 词：加密数字货币 模糊性溢价 市场收益 驱动因素 投资者情绪 金融监管 

分 类 号：F830.9[经济管理—金融学]