Symitsi, E orcid.org/0000-0001-6371-4156 and Chalvatzis, KJ (2019) The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks. Research in International Business and Finance, 48. pp. 97-110. ISSN 0275-5319
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Research in International Business and Finance. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Bitcoin; Portfolio; Economic value; Non-bubble; Dynamic conditional correlation |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 11 Jan 2019 16:18 |
Last Modified: | 05 Jun 2019 00:43 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.ribaf.2018.12.001 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:140826 |
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