ASEAN-5 and Crypto Hedge Fun Dynamic Portfolio Approach

【Author】 Widarto, Andreas Renard; Muharam, Harjum; Wahyudi, Sugeng; Pangestuti, Irene Rini Demi

【Source】SAGE OPEN

【影响因子】2.032

【Abstract】This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets. This study employs dynamic portfolio approach using data from the period of July 2013 to August 2021. This analysis finds that crypto hedge fund can provide hedging effect against ASEAN-5 stock portfolio resulting in hedging effectiveness with positive value. Crypto hedge fund is also proven to be able to increase the risk adjusted performance of all ASEAN-5 portfolio observed under this study, shown by an increase in Sharpe ratio and Sortino ratio.

【Keywords】ASEAN-5; crypto hedge fund; dynamic portfolio; cryptocurrency

【发表时间】2022 APR

【收录时间】2022-05-13

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-