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.
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页数：12
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