英文标题：
《Are Trump and Bitcoin Good Partners?》
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作者：
Jamal Bouoiyour (CATT), Refk Selmi (CATT)
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最新提交年份：
2017
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英文摘要：
During times of extreme market turmoil, it is acknowledged that there is a tendency towards \"flight to safety\". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another asset is in distress, while hedge has to be negatively correlated (uncorrelated) on average. The Bitcoin\'s surge alongside the aftermath of Trump\'s win in the 2016 U.S. presidential elections has strengthened its status as the modern safe haven. This paper uses a truly noise-assisted data analysis method, termed as Ensemble Empirical Mode Decomposition-based approach, to examine whether Bitcoin can act as a hedge and safe haven for U.S. stock price index. The results document that the Bitcoin\'s safe-haven property is time-varying and that it has primarily been a weak safe haven in the short term and the long-term. We also demonstrate that precious metals lost their safe haven properties over time as the correlation between gold/silver and U.S. stock price declines from short-to long-run horizons.
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中文摘要：
在市场极度动荡的时期，人们承认存在“逃到安全地带”的趋势。强（弱）避险被定义为在另一项资产处于困境期间具有显著正（负）回报的资产，而对冲平均必须负相关（不相关）。随着特朗普在2016年美国总统大选中获胜，比特币的激增加强了其现代避风港的地位。本文使用一种真正的噪声辅助数据分析方法，即基于集成经验模式分解的方法，来检验比特币是否可以作为美国股价指数的对冲和避风港。结果表明，比特币的避风港性质是时变的，从短期和长期来看，它主要是一个薄弱的避风港。我们还证明，随着时间的推移，随着黄金/白银与美国股票价格之间的相关性从短期到长期的下降，贵金属失去了其避险资产。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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