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Finance 2021
加密数字货币市场与美国股票市场联动性研究
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Abstract:
为探究加密数字货币市场和美国股票市场之间是否存在一定的相关性并对某些事件表现出相同的反应，本文以2016年1月5日到2021年2月5日纽交所比特币指数(NYXBT)和美国标普500指数(S&P500)数据为样本，建立t-Copula-GARCH-Skewed-T模型对加密数字货币市场和美国股票市场间的联动性进行了研究。结果发现：样本研究期内，加密数字货币市场和美国股票市场的相关性显著增强，并在事件发生前后呈现出类似的变化趋势。结合相关事件进行分析，本文认为政策的放松、中美贸易摩擦、新冠疫情爆发等特定事件通过影响投资者情绪，从而影响加密数字货币市场和美国股票市场的联动性，且样本研究期内新冠疫情的爆发对两市场间联动性波动的影响最大。
Based on t-Copula-GARCH-Skewed-T model, we selected the NYSE Bitcoin Index (NYXBT) and the US S&P500 Index (S&P500) price-day transaction data from January 5th, 2016 to February 5th, 2021 as samples and measured the linkage between the cryptocurrency market and the U.S. stock market. The results show that the correlation between these two markets during this period was signifi-cantly enhanced and there existed obvious characteristics of periodic fluctuation. Meanwhile, it is found that there existed connections between certain events and dynamic conditional correlation. Specific events such as policy relaxation, Sino-US trade frictions, and the outbreak of COVID-19 tend to influence the linkage between the cryptocurrency market and the US stock market by affecting investor sentiment. It is shown that during the sample-studied period, the outbreak of COVID-19 had the greatest impact on the linkage between two markets.
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