Can Bitcoin hedge Belt and Road equity markets?

【Author】 Sha, Yezhou; Song, Weijia

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We use the Belt and Road Initiative (BRI) economies to assess whether co-movements between individual BRI countries' equity markets and Bitcoin, can optimize portfolio composition. The dynamic correlations between these two asset classes persist up to 21 days out-of-sample. During the Covid-19 pandemic, a simple hedging strategy could have improved high risk-averse investors' utility, while still yielding positive returns after controlling for transaction costs. The distribution of hedge ratios and portfolio performance of a Bitcoin-BRI country hedged portfolio flattens after the country joins the BRI, indicating further research is needed to identify the underlying mechanism at work.

【Keywords】DCC-GARCH; Bitcoin; Belt and Road Initiative; Portfolio analysis; Hedging

【发表时间】2021 OCT

【收录时间】2022-01-01

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