摘要
选取2015-2019年间加密货币与股票、黄金、大宗商品和货币资产等四大类7个市场指数收盘价格日数据,建立DCC-GARCH(1,1)模型进行实证分析,研究加密货币市场与传统金融市场的动态关联性和溢出效应。研究结果表明,加密货币与传统金融市场之间存在相关关系和溢出效应。但由于加密货币金融化以及加密货币市场与传统金融市场的融合创新处于初期阶段,其动态关联较弱,溢出效应影响较低。因此,从政府层面上,通过制定增强加密货币市场的有效性的政策,引导加密货币市场融入现有金融体系,实现市场间相互连通;从投资者层面上,综合分析市场交易的风险以及市场运行现状,结合个人资金规模选择正确的投资周期进行投资。
The daily closed prices of cryptocurrency and seven market indices of stock,gold,bulk commodity and monetary assets from 2015 to 2019 were selected as sample indices to establish an appropriate DCC GARCH(1,1)model.This model was aimed to analyse the dynamic correlation and spillover effect between cryptocurrency market and traditional financial market.The results showed that there were correlations and spillover effects between cryptocurrency and traditional financial markets.Since the cryptocurrency financialization and the integrating innovation between cryptocurrency and traditional financial market were still in their infancy,the dynamic association was weak and the spillover effect was also low.Accordingly,the government is suggested to stipulate policies to enhance the effectiveness of the cryptocurrency market so as to guide the cryptocurrency market to integrate into the existing financial system for the purpose of realizing interconnection between the markets.The investor are advised to first analyze the risk of market transactions and the status of market operations before they select the correct investment cycle to invest that based on the size of personal funds.
作者
曾莹
曾柳畅
ZENG Ying;ZENG Liuchang(School of Sciences,Hubei Univ.of Tech.,Wuhan 430068,China)
出处
《湖北工业大学学报》
2020年第4期104-109,共6页
Journal of Hubei University of Technology
基金
湖北省教育厅人文社科项目(19Q053)
湖北工业大学教研项目(2017029)
湖北工业大学博士启动基金(BSQD2016044)
湖北省统计局项目(HB132-28)。
