{"title":"Analysis of blockchain digital currency and market risk based on VAR","authors":"Yi Jing, Haiqi Li, Shuheng Ren, Yuan Wang, Chu-Min Huang, Leqi Xu","doi":"10.1109/CBFD52659.2021.00102","DOIUrl":null,"url":null,"abstract":"As a kind of financial asset, blockchain digital currency attracts investors' attention. Based on bitcoin price data and three kinds of stock market data, this paper constructs a second-order lag VAR model to test their influence mechanism. Conclusion: there is no causal relationship between bitcoin and stock market index. Verify the original hypothesis: bitcoin can better avoid market risk and has the property of market hedging assets. This paper makes a contribution to the cross study of special currency and financial market.","PeriodicalId":230625,"journal":{"name":"2021 International Conference on Computer, Blockchain and Financial Development (CBFD)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2021 International Conference on Computer, Blockchain and Financial Development (CBFD)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CBFD52659.2021.00102","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
As a kind of financial asset, blockchain digital currency attracts investors' attention. Based on bitcoin price data and three kinds of stock market data, this paper constructs a second-order lag VAR model to test their influence mechanism. Conclusion: there is no causal relationship between bitcoin and stock market index. Verify the original hypothesis: bitcoin can better avoid market risk and has the property of market hedging assets. This paper makes a contribution to the cross study of special currency and financial market.