- 期刊
Research on Bitcoin Hedging the Risk of Fiat Currency Price Volatility
摘要
Based on the actual situation that Bitcoin is allowed to be shorted, this paper study whether Bitcoin can effectively hedge the risk of fiat currency price fluctuations. This paper selects four legal currencies (AGD, CNY, JPY, Australian dollar) as the main research object, and uses the variance of return rate as the risk measurement index. The OLS and DCC‐GARCH models are used to determine the optimal risk hedging ratios to construct investment portfolios. The study found that the HE value of in‐sample hedging performance and HE value of out‐of‐sample hedging performance of the investment portfolio after Bitcoin risk hedging is close to 0, which means that Bitcoin cannot hedge the above‐mentioned legal currency price fluctuation risk.
參考文獻
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