Bitcoin volatility and the introduction of bitcoin futures: A portfolio construction approach

【Author】 Bouteska, Ahmed; Harasheh, Murad

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We evaluate the introduction of Bitcoin futures on Bitcoin return and volatility using realized volatility and GARCH model pre-and post-futures. We also assess the portfolio construction im-plications by building two portfolios containing the top 25 S & P stocks, one without futures and one with. GARCH and realized volatility show mixed results. We provide that futures make Bit-coin riskier and more vulnerable to fluctuations over time. However, Bitcoin futures improve the portfolio's volatility and returns profile. Our findings offer implications regarding portfolio strategies implemented by risk-averse and risk-seeking investors and managers as we show how Bitcoin futures can hedge investments.

【Keywords】Realized volatility; Bitcoin; Bitcoin futures; GARCH model; Portfolio construction

【发表时间】2023 NOV

【收录时间】2023-08-20

【文献类型】

【主题类别】

--