Mối liên kết giữa Bitcoin và các loại ngoại tệ tại thị trường phát triển và mới nổi

Financial Innovation - Tập 9 - Trang 1-27 - 2023
Ahmed BenSaïda1,2
1LaREMFiQ Laboratory, University of Sousse, Sousse, Tunisia
2College of Business, Effat University, Jeddah, Saudi Arabia

Tóm tắt

Nghiên cứu này điều tra mối liên kết giữa Bitcoin và các loại tiền tệ Fiat tại hai nhóm quốc gia: các nước phát triển G7 và các nước mới nổi BRICS. Phương pháp nghiên cứu áp dụng copula R-vine thông thường (R) và so sánh với hai mô hình chuẩn: copula t đa biến và mô hình GARCH điều kiện động (DCC). Hơn nữa, nghiên cứu này xem xét liệu sự sụp đổ của Bitcoin vào năm 2013, đợt bán tháo năm 2018, đại dịch COVID-19, sự sụp đổ năm 2021, và cuộc xung đột Nga-Ukraine có ảnh hưởng đến mối liên kết với các đồng tiền thông thường hay không. Kết quả cho thấy rằng đối với cả hai giỏ tiền tệ, R-vine vượt trội hơn so với các mô hình chuẩn. Do đó, sự phụ thuộc được mô hình hóa tốt hơn bằng cách cung cấp đủ thông tin về con đường truyền tải cú sốc. Hơn nữa, mối liên kết giữa các thị trường có xu hướng tăng nhẹ trong các đợt sụp đổ của Bitcoin, và đạt mức độ đáng kể trong các cuộc khủng hoảng năm 2021 và 2022, điều này có thể chỉ ra sự kết thúc của tình trạng cách ly trên thị trường của đồng tiền ảo.

Từ khóa

#Bitcoin #tiền tệ Fiat #R-vine #copula #thị trường phát triển #thị trường mới nổi #khủng hoảng tài chính

Tài liệu tham khảo

Aharon DY, Umar Z, Vo XV (2021) Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies. Financ Innov 7:59. https://doi.org/10.1186/s40854-021-00274-w Akhtaruzzaman M, Boubaker S, Sensoy A (2021) Financial contagion during COVID-19 crisis. Financ Res Lett 38(101):604. https://doi.org/10.1016/j.frl.2020.101604 Baur DG, Dimpfl T (2021) The volatility of Bitcoin and its role as a medium of exchange and a store of value. Empir Econ 61:2663–2683. https://doi.org/10.1007/s00181-020-01990-5 Baur DG, Lucey BM (2015) Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financ Rev 45:217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x BenMim I, BenSaïda A (2019) Financial contagion across major stock markets: a study during crisis episodes. N Am J Econ Financ 48:187–201. https://doi.org/10.1016/j.najef.2019.02.005 BenSaïda A (2018) The contagion effect in European sovereign debt markets: a regime-switching vine copula approach. Int Rev Financ Anal 58:153–165. https://doi.org/10.1016/j.irfa.2017.09.013 BenSaïda A (2021) The good and bad volatility: a new class of asymmetric heteroskedastic models. Oxford Bull Econ Stat 83(2):540–570. https://doi.org/10.1111/obes.12398 BenSaïda A, Litimi H (2021) Financial contagion across G10 stock markets: a study during major crises. Int J Financ Econ 26(3):4798–4821. https://doi.org/10.1002/ijfe.2041 Blau BM (2017) Price dynamics and speculative trading in bitcoin. Res Int Bus Financ 41:493–499. https://doi.org/10.1016/j.ribaf.2017.05.010 Böhme R, Christin N, Edelman B, Moore T (2015) Bitcoin: economics, technology, and governance. J Econ Perspect 29(2):213–238. https://doi.org/10.1257/jep.29.2.213 Bouoiyour J, Selmi R, Tiwari AK (2015) Is Bitcoin business income or speculative foolery? New ideas through an improved frequency domain analysis. Ann Financ Econ 10(1):1550,002. https://doi.org/10.1142/S2010495215500025 Bouri E, Jalkh N, Molnár P, Roubaud D (2017) Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven? Appl Econ 49(50):5063–5073. https://doi.org/10.1080/00036846.2017.1299102 Bouri E, Molnár P, Azzi G, Roubaud D, Hagfors LI (2017) On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Financ Res Lett 20:192–198. https://doi.org/10.1016/j.frl.2016.09.025 Bouri E, Shahzad SJH, Roubaud D, Kristoufek L, Lucey B (2020) Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. Q Rev Econ Financ 77:156–164. https://doi.org/10.1016/j.qref.2020.03.004 Brandvold M, Molnár P, Vagstad K, Andreas Valstad OC (2015) Price discovery on Bitcoin exchanges. J Int Finan Markets Inst Money 36:18–35. https://doi.org/10.1016/j.intfin.2015.02.010 Brière M, Oosterlinck K, Szafarz A (2015) Virtual currency, tangible return: portfolio diversification with bitcoin. J Asset Manag 16:365–373. https://doi.org/10.1057/jam.2015.5 Carrick J (2016) Bitcoin as a complement to emerging market currencies. Emerg Mark Financ Trade 52(10):2321–2334. https://doi.org/10.1080/1540496X.2016.1193002 Cheah ET, Fry J (2015) Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Econ Lett 130:32–36. https://doi.org/10.1016/j.econlet.2015.02.029 Chemkha R, BenSaïda A, Ghorbel A (2021) Connectedness between cryptocurrencies and foreign exchange markets: implication for risk management. J Multinatl Financ Manag 59(100):666. https://doi.org/10.1016/j.mulfin.2020.100666 Chemkha R, BenSaïda A, Ghorbel A, Tayachi T (2021) Hedge and safe haven properties during COVID-19: evidence from Bitcoin and gold. Q Rev Econ Financ 82:71–85. https://doi.org/10.1016/j.qref.2021.07.006 Ciaian P, Rajcaniova M, Kancs D (2016) The economics of Bitcoin price formation. Appl Econ 48(19):1799–1815. https://doi.org/10.1080/00036846.2015.1109038 Conlon T, McGee R (2020) Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Financ Res Lett 35(101):607. https://doi.org/10.1016/j.frl.2020.101607 Corbet S, McHugh G, Meegan A (2017) The influence of central bank monetary policy announcements on cryptocurrency return volatility. Invest Manag Financ Innov 14(4):60–72. https://doi.org/10.21511/imfi.14(4).2017.07 Corbet S, Meegan A, Larkin C, Lucey B, Yarovaya L (2018) Exploring the dynamic relationships between cryptocurrencies and other financial assets. Econ Lett 165:28–34. https://doi.org/10.1016/j.econlet.2018.01.004 Corbet S, Larkin C, Lucey B (2020) The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies. Financ Res Lett 35(101):554. https://doi.org/10.1016/j.frl.2020.101554 Dahir AM, Mahat F, Amin Noordin BA, Hisyam Ab Razak N (2020) Dynamic connectedness between Bitcoin and equity market information across BRICS countries: evidence from TVP-VAR connectedness approach. Int J Manag Financ 16(3):357–371. https://doi.org/10.1108/IJMF-03-2019-0117 Dißmann J, Brechmann E, Czado C, Kurowicka D (2013) Selecting and estimating regular vine copulae and application to financial returns. Comput Stat Data Anal 59:52–69. https://doi.org/10.1016/j.csda.2012.08.010 Dwita Mariana C, Ekaputra IA, Husodo ZA (2020) Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? Financ Res Lett. https://doi.org/10.1016/j.frl.2020.101798 Dyhrberg AH (2016) Hedging capabilities of bitcoin: is it the virtual gold? Financ Res Lett 16:139–144. https://doi.org/10.1016/j.frl.2015.10.025 Fang F, Ventre C, Basios M, Kanthan L, Martinez-Rego D, Wu F, Li L (2022) Cryptocurrency trading: a comprehensive survey. Financ Innov 8:13. https://doi.org/10.1186/s40854-021-00321-6 Garcia D, Tessone CJ, Mavrodiev P, Perony N (2014) The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. J R Soc Interface 11(99):20140,623. https://doi.org/10.1098/rsif.2014.0623 Glosten LR, Jagannathan R, Runkle DE (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks. J Financ 48(5):1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x Goodell JW, Goutte S (2021) Co-movement of COVID-19 and Bitcoin: evidence from wavelet coherence analysis. Financ Res Lett 38(101):625. https://doi.org/10.1016/j.frl.2020.101625 Goodell JW, Alon I, Chiaramonte L, Dreassi A, Paltrinieri A, Piserà S (2022) Risk substitution in cryptocurrencies: evidence from BRICS announcements. Emerg Markets Rev 100:938. https://doi.org/10.1016/j.ememar.2022.100938 Hanley BP (2018) The false premises and promises of bitcoin. arXiv:1312.2048 Huang GY, Gau YF, Wu ZX (2022) Price discovery in fiat currency and cryptocurrency markets. Financ Res Lett 47(102):615. https://doi.org/10.1016/j.frl.2021.102615 Ji Q, Bouri E, Gupta R, Roubaud D (2018) Network causality structures among Bitcoin and other financial assets: a directed acyclic graph approach. Q Rev Econ Financ 70:203–213. https://doi.org/10.1016/j.qref.2018.05.016 Kang KY, Lee S (2022) Money, Bitcoin, and monetary policy. J Money Credit Banking. https://doi.org/10.1111/jmcb.12992 Khalfaoui R, Gozgor G, Goodell JW (2022) Impact of Russia-Ukraine war attention on cryptocurrency: evidence from quantile dependence analysis. Financ Res Lett. https://doi.org/10.1016/j.frl.2022.103365 Kristoufek L (2015) What are the main drivers of the bitcoin price? Evidence from wavelet coherence analysis. PLoS ONE 10(4):1–15. https://doi.org/10.1371/journal.pone.0123923 Kurka J (2019) Do cryptocurrencies and traditional asset classes influence each other? Financ Res Lett 31:38–46. https://doi.org/10.1016/j.frl.2019.04.018 Le TH, Do HX, Nguyen DK, Sensoy A (2021) Covid-19 pandemic and tail-dependency networks of financial assets. Financ Res Lett 38(101):800. https://doi.org/10.1016/j.frl.2020.101800 Levulytè L, Šapkauskiené A (2021) Cryptocurrency in context of fiat money functions. Q Rev Econ Financ 82:44–54. https://doi.org/10.1016/j.qref.2021.07.003 Mensi W, Shafiullah M, Vo XV, Kang SH (2021) Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: evidence from developed and emerging economies. Resour Policy 71(102):002. https://doi.org/10.1016/j.resourpol.2021.102002 Nakamoto S (2008) Bitcoin: a peer-to-peer electronic cash system. http://bitcoin.org/bitcoin.pdf Ning C (2010) Dependence structure between the equity market and the foreign exchange market: a copula approach. J Int Money Financ 29(5):743–759. https://doi.org/10.1016/j.jimonfin.2009.12.002 Palazzi RB, de Souza-Raimundo G Jr, Klotzle MC (2021) The dynamic relationship between bitcoin and the foreign exchange market: a nonlinear approach to test causality between bitcoin and currencies. Financ Res Lett 42(101):893. https://doi.org/10.1016/j.frl.2020.101893 Polasik M, Piotrowska AI, Wisniewski TP, Kotkowski R, Lightfoot G (2015) Price fluctuations and the use of Bitcoin: an empirical inquiry. Int J Electron Commer 20(1):9–49. https://doi.org/10.1080/10864415.2016.1061413 Popper N (2016) Digital gold: the untold story of Bitcoin. HarperCollins, New York Rognone L, Hyde S, Zhang SS (2020) News sentiment in the cryptocurrency market: an empirical comparison with forex. Int Rev Financ Anal 69(101):462. https://doi.org/10.1016/j.irfa.2020.101462 Rogojanu A, Badea L (2014) The issue of competing currencies: case study Bitcoin. Theor Appl Econ 21(1(590)):103–114 Salisu AA, Cuñado J, Gupta R (2022) Geopolitical risks and historical exchange rate volatility of the BRICS. Int Rev Econ Financ 77:179–190. https://doi.org/10.1016/j.iref.2021.09.017 Sebastião H, Godinho P (2021) Forecasting and trading cryptocurrencies with machine learning under changing market conditions. Financ Innov 7:3. https://doi.org/10.1186/s40854-020-00217-x Shahzad SJH, Balli F, Naeem MA, Hasan M, Arif M (2022) Do conventional currencies hedge cryptocurrencies? Q Rev Econ Financ 85:223–228. https://doi.org/10.1016/j.qref.2021.01.008 Shahzad SJH, Bouri E, Rehman MU, Roubaud D (2022) The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. World Econ 45(1):292–316. https://doi.org/10.1111/twec.13138 Shubik M (2014) Simecs, ithaca hours, berkshares, bitcoins and walmarts. Tech. Rep. 1947, Cowles Foundation Discussion Paper, https://doi.org/10.2139/ssrn.2435902 Sklar A (1959) Fonctions de répartition à n dimensions et leurs marges. Publications de l’Institut de Statistique de L’Université de Paris 8:229–231 Umar Z, Polat O, Choi S, Teplova T (2022) The impact of the Russia-Ukraine conflict on the connectedness of financial markets. Financ Res Lett 48(102):976. https://doi.org/10.1016/j.frl.2022.102976 Urquhart A, Zhang H (2019) Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. Int Rev Financ Anal 63:49–57. https://doi.org/10.1016/j.irfa.2019.02.009 Virk N (2022) Bitcoin and integration patterns in the forex market. Financ Res Lett 44(102):092. https://doi.org/10.1016/j.frl.2021.102092 Woo D, Gordon I, Iralov V (2013) Bitcoin: a first assessment. Tech. rep., Bank of America. Merrill Lynch, https://www.aargauerzeitung.ch/asset_document/i/127472557/download Xu M, Chen X, Kou G (2019) A systematic review of blockchain. Financ Innov 5:27. https://doi.org/10.1186/s40854-019-0147-z Xu Y, Lien D (2022) COVID-19 and currency dependences: empirical evidence from BRICS. Financ Res Lett 45(102):119. https://doi.org/10.1016/j.frl.2021.102119 Zhang Y, Hamori S (2022) A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy. Econ Anal Policy 76:182–203. https://doi.org/10.1016/j.eap.2022.08.004