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首页> 外文期刊>The North American journal of economics and finance >Time-frequency quantile dependence between Bitcoin and global equity markets
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Time-frequency quantile dependence between Bitcoin and global equity markets

机译：比特币与全球股票市场之间的时频量依赖性

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摘要

In this paper, we examine return dependence between Bitcoin and stock market returns using a novel quantile cross-spectral dependence approach. The results suggest a right-tail (high return) dependence between Bitcoin and the stock markets in the long term and that said dependence decreases significantly from yearly to monthly investment horizons. Furthermore, right-tail dependence between Bitcoin and the US stock market is the strongest compared with other stock markets. We also extract information on the time-varying and time?frequency structure of co-movements between Bitcoin and the stock markets using wavelet-coherence analysis, the results of which suggest that the co-movement between Bitcoin and the US stock market is positive, whereas, for other stock markets, it is negative at certain frequencies and time periods. Overall, the findings highlight additional risk-management capabilities of Bitcoin according to different stock markets.
机译：在本文中，我们使用小型分位数跨谱依赖方法检查比特币和股票市场返回之间的返回依赖。 结果表明了比特币和股市长期之间的右尾（高回报）依赖，并且所述依赖性从年度到月度投资视野中显着降低。 此外，与其他股票市场相比，比特币和美国股市之间的右尾依赖性最强。 我们还提取有关时变和时间的信息？比特币和股票市场之间的频率结构使用小波 - 相干性分析，结果表明比特币和美国股市之间的合作是积极的， 虽然，对于其他股票市场，它在某些频率和时间段中是负面的。 总体而言，根据不同的股市，调查结果突出了比特币的额外风险管理能力。

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