Semantic Scholar Open Access 2020 146 sitasi

The influence of Bitcoin on Portfolio Diversification and Design

M. Akhtaruzzaman A. Şensoy S. Corbet

Lihat Sumber DOI

Abstrak

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.

Topik & Kata Kunci

Economics

Penulis (3)

M. Akhtaruzzaman

A. Şensoy

S. Corbet

Format Sitasi

APA MLA BibTeX

Akhtaruzzaman, M., Şensoy, A., Corbet, S. (2020). The influence of Bitcoin on Portfolio Diversification and Design. https://doi.org/10.1016/j.frl.2019.101344

Akses Cepat

Lihat di Sumber doi.org/10.1016/j.frl.2019.101344

Informasi Jurnal

Tahun Terbit: 2020
Bahasa: en
Total Sitasi: 146×
Sumber Database: Semantic Scholar
DOI: 10.1016/j.frl.2019.101344
Akses: Open Access ✓