摘要
本文以6个加密货币为研究对象,运用去趋势交叉相关分析(DCCA)方法研究加密货币量价交叉非线性相关性的非对称特征和局部时变特征,并且采用带有风险传导的多重分形去趋势交叉相关分析方法研究量价非线性传导关系,进而,运用分位数回归的方法研究量价交叉相关性和流动率、波动率之间的关系。分析结果显示:加密货币收益率和交易量变化率均表现出尖峰厚尾、有偏的分布特征;加密货币量价非线性相关性随着标度增大而增强;无论是收益率还是交易量变化率下跌时,量价交叉非线性DCCA系数更大;量价交叉相关性同时具有非对称性和时变特征。加密货币量价之间具有风险传导的相互影响关系。在整体阶段,除门罗币外流动率对量价交叉相关性具有促进作用;波动率只对比特币有抑制作用。牛市期间流动率抑制而波动率促进量价关系更加明显;而熊市期间波动率主要对瑞波币和莱特币量价关系起抑制作用,除“柚子”和门罗币外,流动率对量价关系起抑制作用。
This paper takes six cryptocurrencies as the research objects,using the asymmetric detrended cross-correlation analysis(DCCA)method to study the asymmetric characteristics and local time-varying characteristics of the price-volume nonlinear cross-correlation,the multifractal method with risk transmission to study the nonlinear risk transmission relationship,and then the method of quantile regression to study the relationship between volume-price cross-correlation and liquidity and volatility.The empirical results show that:cryptocurrency returns and the trading volume change rate both show characteristics of sharp peak,fat tail and partial distribution,the price-volume nonlinear correlation of cryptocurrency strengthens with the increase of scale,the price-volume cross nonlinear DCCA coefficient is larger when returns and the volume change rate decrease,and the price-volume cross-correlation has both asymmetric and time-varying characteristics.The volume and price of cryptocurrency have the mutual influence of risk transmission.In the whole stage,except for Monroe,the liquidity has a positive effect on the cross correlation between volume and price,while the volatility only inhibited Bitcoin.During the bull market,the price-volume relationship is more obviously when liquidity was inhibited and volatility was promoted;while during the bear market,volatility mainly inhibited the price-volume relationship of the Rippon and Litecoin,and except for EOS and Monero,the liquidity rate inhibited the price-volume relationship.
作者
曹广喜
谢文浩
CAO Guangxi;XIE Wenhao(Nanjing University of Information Science&Technology,Nanjing 210044)
出处
《经济与管理研究》
CSSCI
北大核心
2021年第3期45-63,共19页
Research on Economics and Management
基金
江苏省高校哲学社会科学研究重大项目“社会应急救援管理的金融支持问题研究”(2017ZDAXM005)
国家自然科学基金青年科学基金项目“高频数据下基于动态Coppula和‘已实现波动’理论的股市投资组合风险建模及应用”(71701104)
国家社会科学基金重大项目“中国机构投资者功能定位与监管政策研究”(19ZDA105)。
关键词
加密货币
量价关系
分位数回归
非对称性
风险传导
分形
cryptocurrency
price-volume relationship
quantile regression
asymmetry
risk transmission
fractal
作者简介
曹广喜,南京信息工程大学管理工程学院教授、博士生导师,南京,210044;谢文浩,南京信息工程大学管理工程学院博士研究生。
