文章基本信息

标题：Asymmetric Effects on Risks of Virtual Financial Assets (VFAs) in different regimes: A Case of Bitcoin
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作者：Astri Nurnaafi ; Iriani Setyaningsih ; Desniar 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2018
卷号：2
期号：4
页码：860-883
DOI：10.3934/QFE.2018.4.860
语种：English
出版社：AIMS Press
摘要：The rapid development of VFAs allows investors to diversify their choices of investment products. In this paper, we measure the return risk of VFAs based on GARCH-type model. By establishing a Markov regime-switching Regression (MSR) Model, we explore the asymmetric effects of speculation, investor attention, and market interoperability on return risks in different risk regimes of VFAs. The results show that the influences of speculation and investor attention on the risks of VFAs are significantly positive at all regimes, while market interoperability only admits a positive impact on risk under high risk regime. All of the three factors exert asymmetric effects on risks in different regimes. Further study presents that the risk regime-switching also shows asymmetric characteristic but the medium risk regime is more stable than any others. Therefore, transactions of investors and arbitrageurs are monitored by certain policies, such as limiting the number of transactions or restricting the trading amount at high risk regime. However, when return risk is low, it will return to a medium level if we encourage investors to access.
关键词：asymmetric effect;market risk;Virtual Financial Assets;Bitcoin;Markov regime switching model