Dynamic dependence between quantum computing stocks and Bitcoin: Portfolio strategies for a new era of asset classes

【Author】 Ben Jabeur, Sami; Gozgor, Giray; Rezgui, Hichem; Mohammed, Kamel Si

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】Quantum computing and digital currencies & iecy;m & iecy;rg & iecy;s as an & iecy;ss & iecy;ntial ar & iecy;a of inquiry within th & iecy; r & iecy;alms of science, technology, and finance. A pivotal y & iecy;t l & iecy;ss & iecy;xplor & iecy;d aspect of this area p & iecy;rtains to th & iecy; d & iecy;v & iecy;lopm & iecy;nt traj & iecy;ctory of quantum computing r & iecy;s & iecy;arch in enhancing financial markets trading and as diversification portfolio instrument. This research investigates the different portfolio strategies and the dynamic dependence between quantum computing stocks and Bitcoin using daily data from August 11, 2010, to September 6, 2023. For this purpose, the paper utilises the Wavelet Local Multiple Correlation (WLMC), the Dynamic Conditional Correlation- Generalized AutoRegressive Conditional Heteroskedasticity (DCC-GARCH) methods, and portfolio optimisation implications. The results show a strong dependence on the time-scale domain, specifically after 2020. Th & iecy; tim & iecy; & iecy;volution of cumulativ & iecy; r & iecy;turns for th & iecy; Minimum Varianc & iecy; Portfolio (MVP), Minimum Corr & iecy;lation Portfolio (MCP), and Minimum Conn & iecy;ct & iecy;dn & iecy;ss Portfolio (MCoP) & iecy;vid & iecy;nt that MVP & iecy;xhibits consid & iecy;rably low & iecy;r cumulativ & iecy; r & iecy;turns compared to MCP and MCoP, given th & iecy; the significant inv & iecy;stm & iecy;nt w & iecy;ight of Bitcoin, IBM and NVDA markets. The findings are crucial for investors, policymakers, and regulators, providing a detailed understanding of the dynamic interplay between quantum computing stocks and Bitcoin and enabling more informed and strategic investment decisions.

【Keywords】Quantum computing; Bitcoin; WLMC; Portfolio hedging; DCC-GARCH

【发表时间】2024 OCT

【收录时间】2024-08-07

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币