【J INT FINANC MARK I】Money-Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data 股票投资组合中加密货币风险敞口的资金管理：基于高频数据的实证研究——张健分享

科研基地组织前沿文献研读交流会，张健围绕2025年发表于Elsevier旗下SSCI一区金融期刊Journal of International Financial Markets, Institutions & Money的论文Money-Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data进行主题分享。

文章研究了加密货币与股票投资组合之间不断演变的关系，发现比特币对股票投资组合主动风险的贡献率随时间持续增加，在防御型策略中已超过10%。这一结论这凸显了投资专业人士亟需量化并管理其投资组合中加密货币的相关风险敞口，本文也为此提供了实操思路。在风险测算层面，采用日内收益率显著提高股票投资组合对加密货币风险敏感度的预测精度。在风险管理层面，本文主张采用直接对冲以实现最优风险缓释效果，并建议将选股约束作为一种替代方法，用以限制加密货币对投资组合风险敞口的影响。

ABSTRACT

We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures.