[论文解读] Ether: Bitcoin's competitor or ally?

Jamal Bouoiyour, Refk Selmi|arXiv (Cornell University)|Jul 25, 2017

Blockchain Technology Applications and Security被引用 7

一句话总结

本研究采用计量经济学方法比较比特币与以太坊，评估其波动性、投机行为、对冲功能、避险属性及投资组合分散化特性。研究发现，以太坊的波动性比比特币更具持续性，两种资产均表现为弱避险资产并能提升投资组合效率，但在熊市中投资者可能面临亏损，因此建议对比特币进行空头头寸。

ABSTRACT

Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test whether these cryptocurrencies differ in terms of their volatile and speculative behaviors, hedge, safe haven and risk diversification properties. Using different econometric techniques, we show that a) Bitcoin and Ether are volatile and relatively more responsive to bad news, but the volatility of Ether is more persistent than that of Bitcoin; b) for both cryptocurrencies, the exuberance and the collapse of bubbles were identified, but Bitcoin appears more speculative than Ether; c) there is negative and significant correlation between Bitcoin/Ether and other assets (S\&P500 stocks, US bonds, oil), which would indicate that digital currencies can hedge against the price movements of these assets; d) there is negative tail independence between Bitcoin/Ether and other financial assets, implying that these cryptocurrencies exhibit the function of a weak safe haven; and e) The inclusion of Bitcoin/ Ether in a portfolio improve its efficiency in terms of higher reward-to-risk ratios. But investors who hold diversified portfolios made of stocks or bonds and Ether may face losses over bearish regime. In such situation, stock and bond investors may take a short position on Bitcoin.

研究动机与目标

• 分析比特币与以太坊在波动性与投机行为方面是否存在差异。
• 评估比特币与以太坊相对于传统资产的对冲与避险属性。
• 评估将比特币与以太坊纳入多元化投资组合的影响。
• 识别制度依赖型表现，特别是熊市期间的表现。
• 确定以太坊在金融市场上是作为比特币的竞争者还是盟友。

提出的方法

• 采用多种计量经济学技术分析比特币与以太坊的高频价格数据。
• 运用波动性建模比较两种加密货币在波动持续性及对利空消息反应方面的差异。
• 应用泡沫检测方法识别两种资产中的投机性狂热及其崩盘。
• 检验数字资产与传统资产（标普500指数、债券、原油）之间的负相关性，以评估对冲潜力。
• 分析尾部依赖性，评估极端市场条件下作为避险功能的表现。
• 通过风险调整收益比率进行投资组合效率分析，评估分散化优势。

实验结果

研究问题

• RQ1 比特币与以太坊在波动模式及对利空消息的敏感性方面是否存在差异？
• RQ2 比特币与以太坊是否能有效对冲股票、债券和原油等传统金融资产的价格变动？
• RQ3 在市场动荡期间，比特币与以太坊是否具备避险功能？
• RQ4 比特币与以太坊在多大程度上能提升多元化投资策略中的投资组合效率？
• RQ5 在熊市制度下，比特币与以太坊的表现与风险特征如何变化？

主要发现

• 以太坊的波动性比比特币更具持续性，表明其价格冲击的影响持续时间更长。
• 比特币与以太坊均与标普500指数、美国国债及原油市场呈现显著负相关性，表明具备对冲潜力。
• 比特币/以太坊与传统资产之间存在负尾部依赖性，表明在市场下跌期间其避险属性较弱。
• 在投资组合中纳入比特币或以太坊可提升风险调整收益比率，从而提高整体投资组合效率。
• 在熊市阶段，持有以太坊的股票或债券投资者可能面临亏损，提示存在战略性对冲机会。
• 比特币的投机强度高于以太坊，且有更清晰的投机泡沫及其破裂的证据。