The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing

被引：0

作者：

Hung, Jui-Cheng ^{[1
]}

Liu, Hung-Chun ^{[2
]}

Yang, J. Jimmy ^{[3
]}

机构：

[1] Chinese Culture Univ, Dept Banking & Finance, 55 Hwa Kang Rd, Taipei 11114, Taiwan

[2] Chung Yuan Christian Univ, Dept Finance, 200 Zhongbei Rd, Taoyuan 320314, Taiwan

[3] Oregon State Univ, Coll Business, Sch Accounting Finance & Informat Syst, Austin Hall 426,2751 SW Jefferson Way, Corvallis, OR 97331 USA

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2024年 / 74卷

关键词：

Bitcoin; Volatility timing; Portfolio rebalancing; RGARCH; Futures; SAFE-HAVEN; GOLD; HEDGE; EXCHANGE; INVESTMENT; VARIANCE; CURRENCY; RETURNS; STOCKS; BONDS;

D O I：

10.1016/j.najef.2024.102260

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the economic value of adding Bitcoin, instead of Gold, to a traditional portfolio from the perspective of a volatility timing framework. Using futures data, we find that Bitcoin adds more value than Gold does to the portfolio during periods of dovish monetary policy. However, during periods of rapid rate hikes, Bitcoin destroys value while Gold offers safe haven and diversification benefits. Rebalancing strategies matter when considering adding alternative assets to a stock-bond portfolio in the presence of transaction costs. This study is timely given the macroeconomic environment of rate hikes and the downturn of cryptocurrencies.

引用

页数：15

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