时间：2022.3.25 19:00-20:00
地点：腾讯会议 486 923 221
题目：What can we learn from the convenience yield of Bitcoin? Evidence fromthe COVID-19 crisis
报告人：陈海强 厦门大学教授
主持人：於州 教授
摘要：Bitcoin prices haveexperienced a dramatic increase during the COVID-19 crisis. The crazyperformance of bitcoin is interesting but is still puzzling. Through comparingthe convenience yield of bitcoin with that of gold, we explore severalpotential explanations including flight-to-safety trading and speculativetrading. We have several empirical findings. First, the convenience yield ofbitcoin decreases during the COVID pandemic but that of gold increases,suggesting that the gold market rather than bitcoin attracts flight-to-safetytrading. Second, we find supporting evidence of speculative trading of bitcoinduring the COVID-19 crisis. That is, the decrease in bitcoin convenience yieldduring the COVID pandemic can be explained by the sudden increase of activetrading addresses, in which most are owned by short-term speculators ratherthan long-term investors. We further explore the pricing implication ofspeculative trading in bitcoin. We construct a measure of the unexplainedbitcoin convenience yield by gold to proxy the speculation sentiment behindthese active trading addresses, and find it has significant predictive powerfor S&P 500 index returns during the COVID pandemic.
报告人简介：陈海强，教授，博士生导师，美国康奈尔大学经济学博士，厦门大学王亚南经济研究院副院长，教育部计量经济学重点实验室（厦门大学）副主任，教育部青年长江学者（2020），国家自然科学基金应急管理重点项目主持人，福建省高等学校新世纪优秀人才，厦门市高层次引进人才。研究领域为金融计量、数字经济、金融科技与金融风险管理。论文发表在AEAPapers and Proceedings, Journal of Econometrics, Econometric Theory,Econometrics Journal, Journal of Empirical Finance, Journal of InternationalMoney and Finance,《经济研究》和《管理科学学报》等国内外重要学术期刊。曾获国家高等教育教学成果奖二等奖（2018）、宝钢优秀教师（2021）、ChinaEconomic Review年度最佳论文（2017）、福建省第十二届社会科学优秀成果奖等奖。在《经济日报》、《中国社会科学报》等国内重要新闻媒体撰文，相关政策报告获国家领导人批示。作为负责人主持多项国家级、省部级和企业课题。