Hedging ratio and hedging effectiveness.

This paper investigates the diversification, hedging, and safe-haven capabilities of Bitcoin and gold against blue economy and green finance assets using three different MGARCH models (DCC, ADCC, and GO-GARCH) during adverse events such as the COVID-19 health crisis and the 2022 Russia-Ukraine conflict. Blue economy assets, which refer to sectors that sustainably utilize ocean resources, are a key focus alongside green finance assets. The findings reveal that during crises, Bitcoin demonstrates robust safe-haven characteristics, particularly against blue economy assets like BJLE and OCEN. Conversely, gold exhibits pronounced safe-haven properties against specific blue economy and green finance assets such as BJLE and FAN. The GO-GARCH model highlights gold’s strong diversification and safe-haven roles, especially against BJLE. Bitcoin, on the other hand, is more effective as a diversifier for PIO. Moreover, the GO-GARCH model consistently outperforms the DCC and ADCC models in terms of hedging effectiveness, showing that gold is the preferred hedging instrument for GNR and TAN, while Bitcoin is more effective for other blue and green assets. The results underscore the distinct roles of Bitcoin and gold in portfolio management strategies, offering insights for investors navigating market uncertainties in the context of sustainable investments.

本研究针对新冠疫情健康危机、2022年俄乌冲突等极端市场事件，采用三种多元广义自回归条件异方差（MGARCH）模型——即动态条件相关系数模型（DCC）、非对称动态条件相关系数模型（ADCC）与广义正交GARCH模型（GO-GARCH）——探究比特币与黄金对蓝色经济（blue economy）及绿色金融（green finance）资产的分散化投资、对冲及避险能力。蓝色经济资产指以可持续方式开发利用海洋资源的相关产业，与绿色金融资产同为本次研究的核心关注对象。研究结果表明，危机时期比特币展现出强劲的避险属性，尤其对标BJLE、OCEN等蓝色经济资产时效果突出；反观黄金，则对BJLE、FAN等特定蓝色经济及绿色金融资产具备显著的避险特性。GO-GARCH模型凸显了黄金极强的分散化投资与避险功能，尤其是对标BJLE资产时；而比特币在对冲PIO资产方面则表现更优。此外，在对冲有效性层面，GO-GARCH模型始终优于DCC与ADCC模型：研究显示黄金是GNR、TAN资产的首选对冲工具，而比特币对其他蓝色及绿色资产的对冲效果则更为出色。本研究结果明确了比特币与黄金在投资组合管理策略中的差异化作用，可为投资者在可持续投资背景下应对市场不确定性提供决策参考。