The influence of Bitcoin on portfolio diversification and design

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage101344-1en_US
dc.citation.spage101344-8en_US
dc.citation.volumeNumber37en_US
dc.contributor.authorAkhtaruzzaman, M.en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorCorbet, S.en_US
dc.date.accessioned2020-02-04T05:42:20Z
dc.date.available2020-02-04T05:42:20Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractWe employ a VARMA DCC-GARCH model to search for portfolio diversification with Bitcoin in global industry portfolios and bond index. We find lower dynamic conditional correlations between Bitcoin and industry portfolios and bond index, allowing an investment in Bitcoin to hedge the risk against industry portfolios and bonds. The most effective hedge in a Bitcoin/industry (bond) portfolio is to short Utilities sector. Results are robust to the use of US industry portfolios and a cryptocurrency index instead of global industry portfolios and Bitcoin, respectively. Our results can help investors make informed decisions with regard to risk management and portfolio analysis.en_US
dc.description.provenanceSubmitted by Onur Emek (onur.emek@bilkent.edu.tr) on 2020-02-04T05:42:20Z No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5)en
dc.description.provenanceMade available in DSpace on 2020-02-04T05:42:20Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5) Previous issue date: 2019en
dc.embargo.release2022-11-01
dc.identifier.doi10.1016/j.frl.2019.101344en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/53018
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://doi.org/10.1016/j.frl.2019.101344en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectBitcoinen_US
dc.subjectDCCen_US
dc.subjectOptimal portfolioen_US
dc.subjectHedge ratioen_US
dc.subjectDiversificationen_US
dc.titleThe influence of Bitcoin on portfolio diversification and designen_US
dc.typeArticleen_US

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