| In recent years,with the in-depth application and development of information technology in the financial field,cryptocurrency has gained a high degree of attention.From a global perspective,digital cryptocurrencies have experienced significant growth over the past decade,both in terms of type and market size,and have gradually formed an influential market for digital cryptocurrencies.The growth of cryptocurrency has attracted a large influx of investors,and cryptocurrency funds have sprung up around the world.However,the current research on cryptocurrency is not comprehensive enough,especially if it is not included in the portfolio framework for research.Therefore,this paper will use the framework to empirically study the asset allocation function of cryptocurrency.This paper selects the Crix index,the Shanghai Stock Exchange Index,the S&P 500 Index,the US Treasury Bond Index,the US Corporate Bond Index,the Commodity Index,the Gold Price Index,and the US Dollar Index to construct a portfolio of major assets.This paper establishes the DCC-GARCH model to study the risk hedging effect of digital cryptocurrencies on other assets and also establishes the mean-CVAR model to study the diversification effect of cryptocurrency.This paper conducts an empirical study on the return reate of eight assets from 2014 to 2018.Through empirical research,the paper draws the following conclusions: First,from the perspective of risk hedging utility,cryptocurrency has a strong hedging effects on Gold and commodity futures,has a weak hedge effect on foreign exchange dollars,and has no hedging effect on stocks and bonds.Second,from the perspective of risk diversification,cryptocurrencies are fully dispersed.After the portfolio of asset-like assets,the risk-return ratio of the portfolio is significantly improved,with obvious risk-distributing utility.To draw a conclusion,cryptocurrency has limited functionality as a risk-hedging asset,but its effectiveness as diversification asset is strong.In the context of the digital economy,this paper explores the emerging digital assets of digital cryptocurrency,which helps to better understand digital assets and enriches the economic theory of digital assets. |
