The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks

被引：130
|
作者：
Symitsi, Efthymia [1 ]
Chalvatzis, Konstantinos J. [2 ]
机构：
[1] Univ Leeds, Leeds Univ Business Sch, Leeds, W Yorkshire, England
[2] Univ East Anglia, Norwich Business Sch, Norwich, Norfolk, England
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2019年 / 48卷
关键词：
Bitcoin; Portfolio; Economic value; Non-bubble; Dynamic conditional correlation; SAFE HAVEN; VOLATILITY; EXCHANGE; DIVERSIFICATION; RETURN; PRICE; CRYPTOCURRENCIES; INEFFICIENCY; TECHNOLOGY; BONDS;
D O I：
10.1016/j.ribaf.2018.12.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We assess the out-of-sample performance of Bitcoin within portfolios of various asset classes and a well-diversified portfolio under four strategies and estimate the economic gains net of transaction costs. We find statistically significant diversification benefits from the inclusion of Bitcoin which are more pronounced for commodities. Most importantly, the decrease in the overall portfolio risk due to the low correlation of Bitcoin with other assets is not offset by its high volatility. However, the inclusion of Bitcoin pays off little if investors accommodate a battery of economic instruments. Considering non-bubble conditions that are not marked by explosive prices in cryptocurrencies, we document substantially diminished benefits.
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页码：97 / 110
页数：14
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