ผลกระทบของดัชนีตลาดหุ้นประเทศญี่ปุ่นและอัตราแลกเปลี่ยนดอลลาร์ต่อเยนต่อความผันผวนของผลตอบแทนบิตคอย

Abstract

Portfolio manager invests in different markets or invests in different assets to diversify risk efficiently than investment in only one market or one asset. This study examines the impact of Japan stock market and exchange rate on Bitcoin return’s volatility by using multivariate volatility models, namely, Dynamic Conditional Correlation (DCC) model, which estimated conditional correlation. The daily data between October,1 2016 – April,31 2018. Total 638 samples. The empirical results indicate that volatility of return of Japan stock market are related to the volatility of Bitcoin in the opposite direction. and volatility of return of Japanese exchange rate market are related to the volatility of Bitcoin in the same direction.