The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.
Portfolio diversification with virtual currency: Evidence from bitcoin
Abstract
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.
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Cites
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Sun, X., Liu, M., & Sima, Z. (2020) · Finance Research Letters · doi:10.1016/j.frl.2018.12.032 · Cited by 519
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Huynh, T. L. D., Hille, E., & Nasir, M. A. (2020) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2020.120188 · Cited by 336
Metadata
- Authors
- Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z.
- Venue
- International Review of Financial Analysis
- Publisher
- Elsevier BV
- Published
- 2019-05
- Volume
- 63
- Pages
- 431-437
- ISSN
- 1057-5219 (ISSN-L)
- OpenAlex
- W2793906868
- Cited by
- 631
- References
- 29
- FWCI
- 78.97
- Type
- journal article
- Language
- en
- Open access
- closed
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- Guesmi, K., Saadi, S., Abid, I., & Ftiti, Z. (2019). Portfolio diversification with virtual currency: Evidence from bitcoin. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2018.03.004
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
