Dầu thô, vàng và đô la Mỹ có ảnh hưởng tới quyết định đầu tư Bitcoin không? Phương pháp tiếp cận ANN-DCC-GARCH

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Tác giả: Anukul Tamprasirt, Nathee Naktnasukanjn, Tanarat Rattanadamrongaorn, Yadong Liu

Ngôn ngữ: vie

Ký hiệu phân loại:

Thông tin xuất bản: Tạp chí Kinh tế và Ngân hàng châu Á, 2024

Mô tả vật lý: tr.45796

Bộ sưu tập: Báo, Tạp chí

ID: 457826

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Mục đích – Bitcoin (BTC) có mối tương quan đáng kể với các tài sản tài chính toàn cầu như dầu thô, vàng và đô la Mỹ. BTC và tài sản tài chính toàn cầu đã trở nên liên quan chặt chẽ hơn, đặc biệt kể từ khi đại dịch COVID-19 bùng phát. Mục đích của bài viết này là đưa ra các quyết định đầu tư BTC với sự hỗ trợ của các tài sản tài chính toàn cầu.Thiết kế/phương pháp/cách tiếp cận – Nghiên cứu này đề xuất một mô hình dự đoán chính xác hơn cho giao dịch BTC bằng cách kết hợp mô hình phương sai thay đổi có điều kiện tổng quát tương quan (DCC-GARCH) với mạng lưới thần kinh nhân tạo (ANN). Mô hình DCC-GARCH cung cấp thông tin đầu vào quan trọng, bao gồm cả mối tương quan động và độ biến động, cho ANN. Để phân tích dữ liệu một cách hiệu quả, nghiên cứu chia dữ liệu thành hai giai đoạn: trước và trong đợt bùng phát COVID-19. Mỗi giai đoạn sau đó được chia thành tập huấn luyện và tập dự đoán.Những phát hiện mới – Kết quả thực nghiệm cho thấy BTC và vàng có mối tương quan tích cực cao nhất so với dầu thô và USD, trong khi BTC và USD có mối tương quan động và tiêu cực. Quan trọng hơn, mô hình ANN-DCC-GARCH có lợi nhuận tích lũy là 318% trước khi đại dịch COVID-19 bùng phát và có thể giảm tổn thất 50% trong đại dịch COVID-19. Hơn nữa, những người không thích rủi ro có thể biến lỗ thành lãi khoảng 20% vào năm 2022.Tính mới / giá trị nguyên bản – Phân tích thực nghiệm cung cấp hỗ trợ kỹ thuật và tham khảo ra quyết định cho các nhà đầu tư và tổ chức tài chính để đưa ra quyết định đầu tư vào BTC.Purpose – Bitcoin (BTC) is significantly correlated with global financial assets such as crude oil, gold and the US dollar. BTC and global financial assets have become more closely related, particularly since the outbreak of the COVID-19 pandemic. The purpose of this paper is to formulate BTC investment decisions with the aid of global financial assets.Design/methodology/approach – This study suggests a more accurate prediction model for BTC trading by combining the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model with the artificial neural network (ANN). The DCC-GARCH model offers significant input information, including dynamic correlation and volatility, to the ANN. To analyze the data effectively, the study divides it into two periods: before and during the COVID-19 outbreak. Each period is then further divided into a training set and a prediction set.Findings – The empirical results show that BTC and gold have the highest positive correlation compared with crude oil and the USD, while BTC and the USD have a dynamic and negative correlation. More importantly, the ANN-DCC-GARCH model had a cumulative return of 318% before the outbreak of the COVID-19 pandemic and can decrease loss by 50% during the COVID-19 pandemic. Moreover, the risk-averse can turn a loss into a profit of about 20% in 2022.Originality/value – The empirical analysis provides technical support and decision-making reference for investors and financial institutions to make investment decisions on BTC.

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