The influence of Bitcoin on portfolio diversification and design
Journal article
Akhtaruzzaman, Md, Sensoy, Ahmet and Corbet, Shaen. (2020). The influence of Bitcoin on portfolio diversification and design. Finance Research Letters. 37, p. 101344. https://doi.org/10.1016/j.frl.2019.101344
Authors | Akhtaruzzaman, Md, Sensoy, Ahmet and Corbet, Shaen |
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Abstract | We employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index, allowing an investment in Bitcoin to hedge the risk against industry portfolios and bonds. The most effective hedge in a Bitcoin/industry (bond) portfolio is to short Utilities sector. Results are robust to the use of US industry portfolios and a cryptocurrency index instead of global industry portfolios and Bitcoin, respectively. Our results can help investors make informed decisions with regard to risk management and portfolio analysis. |
Keywords | Bitcoin; DCC; optimal portfolio; hedge ratio; diversification |
Year | 2020 |
Journal | Finance Research Letters |
Journal citation | 37, p. 101344 |
Publisher | Elsevier Ltd |
ISSN | 1544-6123 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.frl.2019.101344 |
Scopus EID | 2-s2.0-85075501430 |
Research or scholarly | Research |
Page range | 1-8 |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 29 Oct 2019 |
Publication process dates | |
Accepted | 28 Oct 2019 |
Deposited | 07 Jun 2021 |
https://acuresearchbank.acu.edu.au/item/8w35q/the-influence-of-bitcoin-on-portfolio-diversification-and-design
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