Can cryptocurrencies be a hedging tool? Evidence from the Turkish stock market

被引：0

作者：

Ustaoglu, Erkan ^{[1
]}

Geckil, Idris ^{[1
]}

机构：

[1] Hitit Univ, Vocat Sch Social Sci, Corum, Turkiye

来源：

MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES | 2024年

关键词：

Cryptocurrency; XU100; hedging effectiveness; optimal portfolio weights; G11; G17; C58; SAFE HAVEN PROPERTIES; BITCOIN;

D O I：

10.1080/17520843.2024.2419764

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The study examines the hedge properties of BTC, ETH, and BNB for the Istanbul Stock Exchange 100 Index (XU100). Investors who add cryptocurrencies to XU100-only portfolios reduce risks by 12.10% to 18.60%. Results show that during global events like COVID-19 and the Russia-Ukraine war, the hedge effectiveness of cryptocurrencies is low. However, during Turkey-specific events such as the Pastor Brunson currency shock, the swap crisis, the dismissal of Central Bank Governor Naci A & gbreve;bal, irrational interest rate cuts, the announcement of the currency-protected deposit system, and the February 6 earthquake, the hedging properties of cryptocurrencies against the XU100 index significantly improve.

引用

页数：12

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