Quantifying the hedge and safe-haven properties of bond markets for cryptocurrency indices

IF 5.7 Q1 BUSINESS, FINANCE Journal of Risk Finance Pub Date : 2022-01-14 DOI:10.1108/jrf-09-2021-0158

Sitara Karim, M. Naeem, Nawazish Mirza, Jéssica Paule-Vianez

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引用次数: 75

Abstract

PurposeThis study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging facilities to uncertainty indices of cryptocurrencies.Design/methodology/approachThe authors employed the methodology of Baur and McDermott (2010) and AGDCC-GARCH model to measure the hedge and safe-haven characteristics of three bond markets (BBGT, SPGB and SKUK) for three uncertainty indexes of cryptocurrencies (UCRPR, UCRPO and ICEA).FindingsThe authors find that bond markets are neither hedge nor safe havens except for SKUK which is a safe haven investment for cryptocurrency indices and offers substantial diversification during the periods of economic fragility. In addition, the hedge effectiveness of SPGB outperforms other bonds during crisis periods and provides sufficient diversification potential for cryptocurrency indices.Practical implicationsThe findings are important for policymakers, regulatory bodies, financial firms and investors in assessing hedge and safe haven characteristics of bond markets against cryptocurrency indices.Originality/valueEmploying the novel methodology of AGDCC-GARCH with three different bond markets and three uncertainty indices of cryptocurrencies, the current study adds to the existing strand of literature in terms of quantifying hedge and safe-haven attributes of bond markets for cryptocurrency uncertainty indexes.

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量化加密货币指数债券市场的对冲和避险属性

本研究量化了2014年6月至2021年4月债券市场对多个加密货币指数的对冲和避险特征，以突出债券市场是否为加密货币的不确定性指数提供对冲设施。设计/方法/方法作者采用Baur和McDermott(2010)的方法和AGDCC-GARCH模型，对加密货币(UCRPR、UCRPO和ICEA)的三个不确定性指标衡量了三个债券市场(BBGT、SPGB和SKUK)的对冲和避险特征。作者发现，债券市场既不是对冲也不是避险天堂，除了SKUK，后者是加密货币指数的避险投资，在经济脆弱时期提供了大量的多元化投资。此外，SPGB在危机期间的对冲效果优于其他债券，并为加密货币指数提供了足够的多元化潜力。这些发现对于政策制定者、监管机构、金融公司和投资者在评估债券市场对冲和避险特征与加密货币指数的关系时具有重要意义。目前的研究采用AGDCC-GARCH的新方法，采用三个不同的债券市场和三个加密货币的不确定性指数，在量化加密货币不确定性指数债券市场的对冲和避险属性方面增加了现有的文献。

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来源期刊

Journal of Risk Finance BUSINESS, FINANCE-

CiteScore

6.20

自引率

6.70%

发文量

期刊介绍： The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk