以太：比特币的竞争对手还是盟友？
Ether: Bitcoin's competitor or ally?
摘要：
虽然比特币长期以来一直在加密领域占据主导地位，但它肯定不是唯一的。以太坊是另一个与加密货币相关的项目，由于其额外的功能而引起了广泛的关注。这项研究旨在测试这些加密货币在其波动性和投机行为、对冲、避风港和风险分散特性方面是否存在差异。使用不同的计量经济学技术，我们表明：a）比特币和以太币具有波动性，对坏消息的反应相对更强，但以太币的波动性比比特币更持久; b）对于这两种加密货币，泡沫的繁荣和崩溃都被发现，但比特币似乎比以太币更具投机性; c）比特币/以太币与其他资产之间存在显著的负相关性（标准普尔500指数股票、美国债券、石油），这将表明数字货币可以对冲这些资产的价格波动; d）比特币/以太币和其他金融资产之间存在负的尾部独立性，这意味着这些加密货币表现出弱安全港的功能;以及e）将比特币/以太币纳入投资组合，提高了其在更高回报风险比方面的效率。但持有由股票或债券和以太币组成的多元化投资组合的投资者可能会因看跌机制而面临损失。在这种情况下，股票和债券投资者可能会对比特币采取空头头寸。
英文摘要：
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test whether these cryptocurrencies differ in terms of their volatile and speculative behaviors, hedge, safe haven and risk diversification properties. Using different econometric techniques, we show that a) Bitcoin and Ether are volatile and relatively more responsive to bad news, but the volatility of Ether is more persistent than that of Bitcoin; b) for both cryptocurrencies, the exuberance and the collapse of bubbles were identified, but Bitcoin appears more speculative than Ether; c) there is negative and significant correlation between Bitcoin/Ether and other assets (S\&P500 stocks, US bonds, oil), which would indicate that digital currencies can hedge against the price movements of these assets; d) there is negative tail independence between Bitcoin/Ether and other financial assets, implying that these cryptocurrencies exhibit the function of a weak safe haven; and e) The inclusion of Bitcoin/ Ether in a portfolio improve its efficiency in terms of higher reward-to-risk ratios. But investors who hold diversified portfolios made of stocks or bonds and Ether may face losses over bearish regime. In such situation, stock and bond investors may take a short position on Bitcoin.
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