Portfolio diversification with virtual currency: Evidence from bitcoin

被引：418

作者：

Guesmi, Khaled ^{[1
]}

Saadi, Samir ^{[1
,2
]}

Abid, Ilyes ^{[4
]}

Ftiti, Zied ^{[3
]}

机构：

[1] IPAG Business Sch, Paris, France

[2] Univ Ottawa, Ottawa, ON, Canada

[3] ISC Paris Business Sch, Paris, France

[4] EDC Paris Business Sch, Paris, France

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2019年 / 63卷

关键词：

Virtual currencies; Bitcoin; GARCH models; Hedging; Diversification; CONDITIONAL HETEROSCEDASTICITY; VOLATILITY; DOLLAR; HETEROSKEDASTICITY; ECONOMICS; GOLD;

D O I：

10.1016/j.irfa.2018.03.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we explore the conditional cross effects and volatility spillover between Bitcoin and financial indicators using different multivariate GARCH specifications. The nature of interaction between Bitcoin and financial variables and their transmission mechanisms are taken into account when analyzing the diversification and hedging effectiveness across gold asset and stock market. Our findings suggest that all models confirm the significant returns and volatility spillovers. More importantly, we find that VARMA (1,1)-DCC-GJR-GARCH is the best-fit model for modeling the joint dynamics of a variety of financial assets. We also show that a short position in the Bitcoin market allows hedging the risk investment for all different financial assets. Finally, hedging strategies involving gold, oil, equities and Bitcoin reduce considerably the portfolio's risk, as compared to the risk of the portfolio made up of gold, oil and equities only.

引用

页码：431 / 437

页数：7

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