Kyung Hee University · Economics, Econometrics and Finance
엘리 보리 교수의 연구실은 암호자산, 특히 비트코인의 자산 가격 움직임과 시장 역학에 중점을 두고 있습니다. 주요 연구 방향은 암호자산이 전통 금융자산 및 상품 시장과 어떻게 연동되는지, 그리고 시장 급락 등 급격한 변동성 상황에서 안전자산 역할을 하는지 분석합니다. 특히 에너지 자원과의 연관성, 변동성의 비대칭적 특성, 그리고 다양한 시장 조건(상승장·하락장)에서의 리스크 전이 효과를 다룹니다.
Figures are computed from collected data and may differ slightly.
We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine
This article contributes to the embryonic literature on the relations between Bitcoin and conventional investments by studying return and volatility spillovers between this largest cryptocurrency and four asset classes (equities, stocks, commodities, currencies and bonds) in bear and bull market conditions. We conducted empirical analyses based on a smooth transition VAR GARCH-in-mean model covering daily data from 19 July 2010 to 31 October 2017. We found significant evidence that Bitcoin retur
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