加密货币在2019冠状病毒病之前和期间对黄金、WTI、VIX指数、G7和金砖国家指数的影响:分位数回归和NARDL分析

Mouna Aloui, B. Hamdi, A. Tiwari, A. Jeribi
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引用次数: 0

摘要

本研究旨在探讨加密货币(比特币、以太坊、门罗币和瑞波币)在COVID-19之前和期间对黄金、WTI、VIX指数、G7和金砖国家指数的影响。本研究使用2016-2020年期间的分位数回归方法,分析了加密货币(比特币、以太坊、门罗币和瑞波币)在2019冠状病毒病之前和期间对黄金、WTI、VIX指数、G7和金砖国家指数的影响。此外,为了捕捉加密货币在上述因变量上的长期和短期不对称性,采用了非对称非线性协整(非线性自回归分布滞后[NARDL])方法。分位数回归结果显示,在高市场中,即对应第90分位数,FTSE MIB、CAC40、SSE、BSE 30和BVSP股市对比特币价格的负系数在统计上不显著。在0.2、0.3和0.5分位数对应的中低端市场中,BVSP、FTSE MIB、S&P/TSX、SSE和日经股市对比特币表现出统计学显著性和正性。来自NARDL的证据显示,在2019冠状病毒病大流行之前和期间,加密货币对黄金、WTI、VIX指数、G7和金砖国家指数产生了统计上显著的积极影响。原创性/价值这些结果可以为投资者提供有价值的分析和信息,帮助他们做出最佳决策,采取最佳策略。因此,未来的调查可能会集中并研究需要适应的货币和政府政策,以应对COVID-19大流行对社会和经济的危险影响。因此,投资者在进行资产配置决策时应考虑到这一点。此外,指数基金等投资组合经理可能会考虑将少数符合条件的加密货币纳入投资组合。然而,股票和加密市场上的投机者可能会选择点差策略来提高他们的投资组合回报。
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The impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS index before and during COVID-19: a quantile regression and NARDL analysis
Purpose This study aims to explore the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19. Design/methodology/approach This research analyzes the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19, using the quantile regression approach for the 2016–2020 period. In addition, to catch long- and short-run asymmetries of cryptocurrencies on aforementioned dependent variables, an asymmetric nonlinear co-integration (nonlinear autoregressive distributed lag [NARDL]) approach is applied. Findings The result of the quantile regression shows that in a high market, which corresponds to the 90th quantile, the FTSE MIB, CAC40, SSE, BSE 30, and BVSP stock market showed a statistically insignificant negative coefficient, on the Bitcoin price. In a middle and low markets, which correspond to the 0.2, 0.3 and 0.5th quantiles, the BVSP, FTSE MIB, S&P/TSX, SSE and Nikkei stock markets show statistically significant and positive on Bitcoin. Evidence from the NARDL shows a statistically significant positive impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS indices before and during COVID-19 pandemic. Originality/value These results can provide investors with valuable analysis and information and help them make the best decisions and adopt the best strategies. Therefore, future investigations may concentrate and examine the monetary and governmental policies to be adapted to face the COVID-19 pandemic’s dangerous effects on both the society and the economy. For this reason, investors should take this into account when making their asset allocation decisions. Moreover, the portfolio managers, such as index funds, may consider few eligible cryptocurrencies for their inclusion into the portfolio. However, the speculators present in both stock and crypto markets may opt for a spread strategy to improve their portfolio returns.
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来源期刊
CiteScore
3.90
自引率
6.70%
发文量
13
期刊介绍: The International Journal of Law and Management is a leading journal addressing all aspects of regulation and law as they impact on organisational development, operations and leadership. Organisations and their leaders operate in an increasingly complex world of emerging regulation across national and international boundaries. The International Journal of Law and Management seeks to acknowledge the dynamics of that environment and provide a platform for articles and contributions to stimulate scholarly debate in the development of law and practice. The International Journal of Law and Management seeks to present the latest research on policy, practice and theoretical perspectives and their impact on the development and leadership of organisations. Contributions of a multi-disciplinary nature are welcome. Coverage includes, but is not limited to: -Employment and industrial law- Corporate governance and social responsibility- Intellectual property- Corporate law and finance- Insolvency- Commercial law and consumer protection- Environmental law- Taxation- Competition law- Regulatory theory
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