Akhtaruzzaman, Md 
ORCID: 0000-0001-7795-1451, Sensoy, Ahmet ORCID: 0000-0001-7967-5171 and Corbet, Shaen ORCID: 0000-0001-7430-7417
(2019)
The influence of Bitcoin on portfolio diversification and design.
Finance Research Letters, 29
.
ISSN 1544-6123
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 & 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.
Metadata
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Additional Information: | Atricle Number: 101344 |
| Uncontrolled Keywords: | Bitcoin; DCC; Optimal Portfolio; Hedge Ratio; Diversification |
| Subjects: | Business > Finance |
| DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
| Publisher: | Elsevier |
| Official URL: | http://dx.doi.org/10.1016/j.frl.2019.101344 |
| Copyright Information: | © 2019 Elsevier. CC BY-NC-ND |
| ID Code: | 25056 |
| Deposited On: | 01 Oct 2020 11:51 by Thomas Murtagh . Last Modified 28 Oct 2021 03:30 |
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