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<p>Dilemmas in financing, risk control, and liquidity have arisen in the face of the current land system, and land securitization can provide a way of thinking to solve these problems. This paper proposes four financial instruments for land asset securitization. It calculates the transaction pricing of that land asset security by splitting it into a composite of independent financial derivative values based on the risk-free arbitrage theory in financial engineering. Finally, based on the multiple fractals and volatility spillover index method, the impact of digital currency on the trading dependence and risk spillover of land asset securities when land is securitized as an asset is studied in depth. The results show that the fractal characteristics of land stocks are 0.756, and land bonds are 0.737. The multiple fractal characteristics of the cross-correlation of different land security assets are differentiated, which indicates that the impact of digital currency on the land security assets among them is stronger in the long memory of small fluctuations. The inverse persistence of large fluctuations is stronger. The risk spillover results show that there is a small risk correlation between digital currencies and land securities transactions.</p>
</abstract>

Dilemmas in financing, risk control, and liquidity have arisen in the face of the current land system, and land securitization can provide a way of thinking to solve these problems. This paper proposes four financial instruments for land asset securitization. It calculates the transaction pricing of that land asset security by splitting it into a composite of independent financial derivative values based on the risk-free arbitrage theory in financial engineering. Finally, based on the multiple fractals and volatility spillover index method, the impact of digital currency on the trading dependence and risk spillover of land asset securities when land is securitized as an asset is studied in depth. The results show that the fractal characteristics of land stocks are 0.756, and land bonds are 0.737. The multiple fractal characteristics of the cross-correlation of different land security assets are differentiated, which indicates that the impact of digital currency on the land security assets among them is stronger in the long memory of small fluctuations. The inverse persistence of large fluctuations is stronger. The risk spillover results show that there is a small risk correlation between digital currencies and land securities transactions.

An Economic Analysis of the Impact of Digital Currencies on Land Asset Securities Transactions

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Dilemmas in financing, risk control, and liquidity have arisen in the face of the current land system, and land securitization can provide a way of thinking to...

An Economic Analysis of the Impact of Digital Currencies on Land Asset Securities Transactions

Data publikacji: 03 cze 2024

Zakres stron: -

Otrzymano: 13 lut 2024

Przyjęty: 28 kwi 2024

DOI: https://doi.org/10.2478/amns-2024-1355

Słowa kluczowe
Land asset securitization, Risk-free arbitrage, Transaction pricing, Multiple fractals, Volatility spillover index

© 2024 Fan Gao, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

An Economic Analysis of the Impact of Digital Currencies on Land Asset Securities Transactions

Data publikacji: 03 cze 2024

Zakres stron: -

Otrzymano: 13 lut 2024

Przyjęty: 28 kwi 2024

DOI: https://doi.org/10.2478/amns-2024-1355

Słowa kluczoweLand asset securitization, Risk-free arbitrage, Transaction pricing, Multiple fractals, Volatility spillover index

© 2024 Fan Gao, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Słowa kluczowe
Land asset securitization, Risk-free arbitrage, Transaction pricing, Multiple fractals, Volatility spillover index