Which is proper to hedge against inflation, stock and foreign exchange, between gold and bitcoin? Evidence from BEKK regressions.

서지정보

· 발행기관 : 명지대학교(서울캠퍼스) 금융지식연구소
· 수록지 정보 : 금융지식연구 / 16권 / 1호 / 103 ~ 127페이지
· 저자명 : 황용일

초록

The hedging capabilities of gold against inflation, stock and foreign exchange return are explored with interaction with other assets using Asymmetric Multivariate GARCH. It sheds the light on contemporaneous interaction - level and asymmetric volatility among various assets. Bitcoin hedging capability, if any exists, might have different traits from gold, depending on the time period, geographical areas and portfolio composition ingredients. The results show that bitcoin might be used at its own risk as a hedge against stocks in S&P 500 as well as in Korea Stock Exchange, with great cautions, understanding that bitcoin is not based on real value such as gold, stock and foreign exchange and its volatility is very large and recognizing that gold is regarded as the comparatively strong and steady long-standing hedging vehicle. Bitcoin possesses some of the hedging abilities similar to gold, but not with the equal magnitude. Gold leads sometimes to the weakly opposite direction such as positively against SP500 contrasting to negatively against KOSPI while bitcoin positively weakly against both SP500 and KOSPI. The hedging capabilities of bitcoin against inflation are also explored finding empirically that bitcoin might have the hedging capabilities against inflation. However it notes that gold has the credible hedging capability against KO-US while bitcoin weakly hedging against KO-US. It finds that only inflationary shock significantly decreases gold volatility stabilizing the economy while positively weakly (insignificantly) bitcoin in volatility. The negatively significant asymmetry is found in gold while insignificant in bitcoin. It sheds the light on bitcoin’s financial position, if necessary depending on market-specific conditions, in the variety of strategic risk management with the consideration of the extent, sign and geographical market-specific risk. It is never too much to take the full notion that bitcoin has not yet established what place it has on the function of money or solid asset or in-between, compared to gold which has more solid theoretical backgrounds and logical basis.

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