Forex Tianyan APP Communication: Blockchain, as a chain composed of blocks, has developed rapidly in recent years, covering education, employment, medical care, smart manufacturing, supply chain, Internet of Things, etc. Many emerging industries. According to statistics, in 2025, the scale of new infrastructure segmentation industry will reach 38.9 billion yuan in blockchain.
While the emerging industries centered on the district blockchain are developing rapidly, they have also brought huge new investment opportunities to people. In the capital market, with blockchain technology as the center, high-tech companies including blockchain technology are intensively listed, providing investors with new investment themes. However, like any investment, while the blockchain brings new investment opportunities, it also inevitably introduces a certain degree of risk.
Investment value: price increase.
Based on the nature of the blockchain, it is not suitable for individual investors to directly invest in venture capital and primary market investment. The main focus here is on the investment opportunities in the secondary market of the blockchain.
Take the District Blockchain 50 Index released by the Shenzhen Stock Exchange on December 24, 2019 as an example, based on December 31, 2012, with a base of 1000, total. Among the sample stocks of the Blockchain 50 Index, banking, information security, gaming, securities, manufacturing, advertising, and medical industries basically cover the main application areas of blockchain. The publication of the Blockchain 50 Index shows that the blockchain has been recognized by the mainstream market and officially provides investors with reference indicators for blockchain-related concept stocks.
Following the trend of the Blockchain 50 Index, the Blockchain 50 Index has clearly entered an upward channel. At the same time, the transaction volume also gradually increased with the rise of index prices. There were three obvious peaks in early March 2019, late February 2020, and early July 2020. The peaks were 100 million yuan, 100 million yuan, and 100 million yuan. Among them, 100 million yuan is the largest daily transaction volume of the Blockchain 50 Index, which occurred on July 9, 2020. In general, the current blockchain 50 index is in a state of increasing release.
Taking a closer look at the characteristics of the Blockchain 50 Index, it has been officially published from December 24, 2019. As of August 5, 2020, it has recorded an increase of more than 30%, dating back to the most recent year (from August 2019). From 6th to August 5th, 2020, before the official release of the Blockchain 50 Index, the historical data of the increase is estimated based on the historical trajectory data of the constituent stocks. The increase is reached, both of which are higher than the blue chip of the market. The Shanghai Composite Index and the Shanghai Depth 300, which are centered on the index, are lower than the small and medium cap index and the ChiNext index, which are centered on small and medium caps. At the same time, the free market price of the Blockchain 50 Index accounts for 54%, the highest among the five (see Table 1).
The Blockchain 50 Index has an obvious indicator function, which can provide investors with an important reference. From the perspective of the price trends and index characteristics of the Blockchain 50 Index, in the nearly 9 months from the publication of the index to August 5, 2020, its growth rate and degree of free circulation indicate that the blockchain board has good investment value.
Therefore, the blockchain can realize the real economy, accelerate the digital transformation of the economy, and realize the transformation of the growth model of the industrial age into the growth model of the digital age, which is of great significance. The development of blockchain-related listed companies will further utilize concept stocks in the field of new economic growth and digital transformation. It is recommended to pay attention to the constituent stocks of the blockchain 50 index, and industry leaders, information technology companies and related hardware support companies with certain technical reserves.
Be wary of the risk of income-loss inequality.
Regardless of whether it is a primary market or a secondary market, high returns must be accompanied by great risks. In particular, blockchain-related industries are still in the growth stage. While high returns are possible, bubbles are also increasing. In this regard, investors who pay attention to blockchain believe that the memory of Bitcoin's plunge at the end of 2017 will be updated.
At present, the overall speculative atmosphere of blockchain concept stocks is strong, which is greatly affected by policies, and some companies have poor operating performance and fraud. In this regard, many research institutions in the market have conducted qualitative analysis of the above risks, and investors should pay attention to these investment risks. Here, this article hopes that through a quantitative analysis of market risks, it will prompt the possible market risks of blockchain investment.
We still take the blockchain 50 index as an example. As of August 5, 2020, the statistical characteristics of its stock price return are as follows: the average value is the median, the maximum value is the dangerous value, and the quantile point is 100%.
As can be seen from the statistical characteristics of the stock price return of the blockchain 50 index above, as of August 5, 2020, when the average and median are respectively at peace, the stock price return of the blockchain 50 index doubled Fan, beyond the risk value, the quintile is at 100%, the stock price return rate is obviously high, and there is a risk of a recall decline at any time.
Further statistics on the profit-loss distribution of the blockchain 50 index from the base date to August 5, 2020, illustrate the market risk when the blockchain 50 index declines (see Figure 1).
According to the calculation result of the deviation (skewness represents the measurement of the direction and degree of the deviation of the statistical data distribution), the left deviation of the profit-loss distribution of the blockchain 50 index can be seen from the profit-loss distribution on the left side of Figure 1, the left-to-tail ratio The right tail is high, and there may be a fat tail phenomenon (fat tail phenomenon indicates that the probability of extreme market occurrence increases) further establish QQ-plot (Quantile-QuantilePlot, namely quantile distribution, this type of graph intuitively indicates the difference between the observed value and the predicted value) , It can be clearly seen from the Q-Qplot on the right of Figure 1 that the left and right tails deviate from the red theoretical fitting line as a reference. The observed values of the left and right tails are absolutely greater than the absolute value of the theoretical value, which can be determined here , There are fat tails on both sides, the left tail is more serious, that is, in extreme cases
Using the income-loss distribution, the historical simulation method is used to calculate the Var(ValueatRisk) of the 95% and 99% trust levels, which refers to the maximum possible loss of the value of a financial asset and securities portfolio in a specific period in the future under a certain probability level, and the possibility of loss can be determined Severity). Among them, VaR (95%) =, VaR (99%) = with the blockchain 50 index as the investment target, investors may lose more than 5% in a single trading day, and may lose more than 1%.
The above provides a quantitative explanation of the market risk of investing in the blockchain 50 index in the secondary market, but there are two shortcomings.
One is the long traceability and no representativeness problem. The Blockchain 50 Index was officially released on December 24, 2019. So far, there have been no officially released blockchain-related concept stocks in the a-share market. It dates back to December 31, 2012. At that time, the concept of blockchain was not popular, and related concepts It has not yet entered the public eye. In the minds of ordinary investors, the related concepts of blockchain concept stocks do not yet exist
Second, the calculation time window is too long and the risk assessment is not objective. Since the historical simulation method is used to calculate VaR, all data are of equal weight. Compared with the current market environment, the old data has little reference significance. It may expand or reduce the current market risk of investing in the blockchain 50 index, and the risk cannot be properly evaluated.
Therefore, we further narrow the time window for calculating the profit-loss distribution, from the date of official publication of the blockchain 50 index to August 5, 2020 (see Figure 2).
According to the calculation of this time interval, the profit-loss distribution of the Blockchain 50 Index is still significantly leftward. It can be seen from Q-Qplot that this time period also has a red theoretical fitting line with the left and right tails as references. However, unlike Figure 1, the observed value of the left tail is absolutely greater than the absolute value of the theoretical value, and the right tail The observed value is absolutely less than the absolute value of the theoretical value, that is, the left tail has a fat tail and the right tail has a thin tail. In other words, in extreme cases on both sides, there may be problems of small income and large losses. In virtual reality, virtual reality (95%) =, virtual reality (99%) =, at 99% confidence level, virtual reality is slightly smaller than the previous value (this is an absolute value), but at 95% confidence level It is higher than the previous value.
In general, from the base date of the Blockchain 50 Index from December 31, 2012 to August 5, 2020, and from the index publication date from December 24, 2019 to August 5, 2020, the calculation is based on Blockchain 50 index is the target for investment, the income-loss distribution is obviously fat tail phenomenon on the left
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