期刊
INTERNATIONAL JOURNAL OF EMERGING MARKETS
卷 17, 期 9, 页码 2290-2320出版社
EMERALD GROUP PUBLISHING LTD
DOI: 10.1108/IJOEM-06-2020-0688
关键词
GAS; GO-GARCH; VaR; Cryptocurrencies; Stock market indices; Gold; Hedging
This paper models and forecasts the risk of cryptocurrencies, stock market indices, and gold returns, finding that Bitcoin has the highest risk and Gold and BRICS indices have lower risk compared to developed countries. It also shows that Bitcoin and Gold can be used to hedge risks in developed stock markets, while Gold and Bitcoin act as diversifying assets for BRICS economies. Dash and Monero are identified as diversifying assets for developed stock markets.
Purpose The purpose of this paper is threefold. First, it models and forecasts the risk of the five leading cryptocurrencies, stock market indices (developed and BRICS) and gold returns. Second, it conducts different backtesting procedures forecasts. Third, it focuses on the hedging potential of cryptocurrencies and gold. Design/methodology/approach The authors used the generalized autoregressive score (GAS) models to model and forecast the risk of cryptocurrencies, stock market indices and gold returns. They conduct different backtesting procedures of the 1% and 5%-value-at-risk (VaR) forecasts. They also use the generalized orthogonal generalized autoregressive conditional heteroskedasticity (GO-GARCH) model to explore the hedging potential of cryptocurrencies by estimating the dynamic conditional correlation between cryptocurrencies and gold, on the one hand, and stock markets on the other hand. Findings When conducting different backtesting procedures of VaR, our finding suggests that Bitcoin has the highest VaR among cryptocurrencies and Gold and the BRICS indices returns have lower VaR compared to the developed countries. Finally, we provide evidence that the risks among developed stock markets can be hedged by Bitcoin and Gold. Bitcoin can be considered as the new Gold for these economies. Unlike Bitcoin, Gold can be considered as a hedge for Chinese and Indian investors. However, Gold and Bitcoin can be considered as diversifier assets for the other BRICS economies while Dash and Monero are diversifier assets for developed stock markets. Originality/value The first paper's empirical contribution lies in analyzing optimal forecast models for cryptocurrencies (other than Bitcoin) returns and risk. The second contribution consists of studying the hedging potential of five leading cryptocurrencies. To the best of our knowledge, no previous studies have investigated the role of cryptocurrencies for BRICS investors.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据