Time-varying dependence of Bitcoin

【Author】 Haffar, Adlane; Le Fur, Eric

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】This paper analyzes Bitcoin investment in terms of portfolio diversification. Over the period July 2011-April 2021, we use the copula-GARCH approach to test the time-varying dependence of Bitcoin in a portfolio composed of six stock markets (CAC40, DJIA, EUROSTOXX50, FTSE100, HANGSENG, and NIKKEI225). Our results reveal that volatility modeling provides better results with the Dynamic Conditional Correlation model. The performance of the portfolio is largely due to the high returns of Bitcoin which allows for better portfolio diversification. As a result, there is a mitigation of the extreme rates of return associated with crypto-currencies. Finally, while Bitcoin's contribution to the portfolio is more attributable to its risk than its return, it does play a role in stabilizing portfolio performance, for varying levels of risk.(c) 2022 Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois.

【Keywords】Bitcoin; Copula-GARCH model; Portfolio diversification; Portfolio risk; Robust MCD portfolio

【发表时间】2022 NOV

【收录时间】2022-09-06

【文献类型】实证数据

【主题类别】

区块链技术-平台项目-数字货币