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ความสมัพันธเ์ชิงพลวัตของความผันผวนและการป้องกันความเสี่ยง ระหว่างคริปโทเคอรเ์รนซีกับสิ ทรัพยท์ างการเงนิอื่น

Author

Listed:
  • Nittayakamolphun, Pitipat
  • Bejrananda, Thanchanok
  • Pholkerd, Panjamapon

Abstract

Cryptocurrencies have created opportunities and challenges in investment as well as providing higher returns than other financial assets. Despite the unclear role and risks of cryptocurrencies, the opportunities they offer have attracted a number of investors to the crypto market. This study, thus, aims to analyze the dynamic relationship of volatilities and hedging between cryptocurrencies and other financial assets using Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH). The daily data span from August 2016 to December 2021. The result for volatilities showed a low dynamic correlation between cryptocurrencies and other financial assets and the ability to hedge minimal risk. Hence, investors should diversify the risk in their portfolios by investing in cryptocurrencies together with other financial assets without compromising the expected return.

Suggested Citation

  • Nittayakamolphun, Pitipat & Bejrananda, Thanchanok & Pholkerd, Panjamapon, 2022. "ความสมัพันธเ์ชิงพลวัตของความผันผวนและการป้องกันความเสี่ยง ระหว่างคริปโทเคอรเ์รนซีกับสิ ทรัพยท์ างการเงนิอื่น," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 29(1).
    • Handle: RePEc:ags:thkase:334380
    DOI: 10.22004/ag.econ.334380
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    Keywords

    Financial Economics;

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