کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7352227 | 1476981 | 2017 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 23, November 2017, Pages 87-95
Journal: Finance Research Letters - Volume 23, November 2017, Pages 87-95
نویسندگان
Elie Bouri, Rangan Gupta, Aviral Kumar Tiwari, David Roubaud,