Feasibility Study of Bitcoin Hedging the U.S. Stock Market
These authors contributed equally.
- 10.2991/assehr.k.211209.293How to use a DOI?
- U.S. stock market; Bitcoin; Hedge; Feasibility
Hedge strategies are used with different terms to evaluate whether the co-movement between the U.S. stock market and Bitcoin can be used to optimize the portfolio. As for the representative stock indexes, we construct long-term and short-term hedge portfolios of the S&P 500 and NASDAQ with Bitcoin based on the least variance hedging view. It turns out that long-term hedges are less effective than short-term hedges. To further test the correctness of the conclusion, in the context of the recently enacted and implemented double-reduction policy, we take the market value as the weight, select 5 stocks with large market value to build a portfolio, and hedge them with Bitcoin for a week. The conclusion was still in line with our expectations. By testing the feasibility of hedge between U.S. equity and Bitcoin, this research can provide investors with effective investment ideas and reveal the essence of hedge: the assets of the two hedges should have similar volatility.
- © 2021 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Shiyun He AU - Yingjie Sheng AU - Ziyang Zang PY - 2021 DA - 2021/12/15 TI - Feasibility Study of Bitcoin Hedging the U.S. Stock Market BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1811 EP - 1818 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.293 DO - 10.2991/assehr.k.211209.293 ID - He2021 ER -