Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Feasibility Study of Bitcoin Hedging the U.S. Stock Market

Authors
Shiyun He1, *, †, Yingjie Sheng2, *, †, syj20000312@163.com, Ziyang Zang3, *, †, zangziy1@msu.edu
1School of Business, Macau University of Science and Technology, Macau 519000, China
2College of Finance and Statistics, Hunan University, Changsha 410000, China
3James Madison College, Michigan State University, East Lansing 48823, the U.S.
†

These authors contributed equally.

*Corresponding author. Email: 1809853mb011022@student.must.edu.mo
Corresponding Authors
Shiyun He, Yingjie Shengsyj20000312@163.com, Ziyang Zangzangziy1@msu.edu
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.293How to use a DOI?
Keywords
U.S. stock market; Bitcoin; Hedge; Feasibility
Abstract

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.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.293How to use a DOI?
Copyright
© 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

risenwbib
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  -