The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks

Symitsi, Efthymia and Chalvatzis, Konstantinos J. (2019) The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks. Research in International Business and Finance, 48. pp. 97-110. ISSN 0275-5319

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Abstract

We assess the out-of-sample performance of Bitcoin within portfolios of various asset classes and a well-diversified portfolio under four strategies and estimate the economic gains net of transaction costs. We find statistically significant diversification benefits from the inclusion of Bitcoin which are more pronounced for commodities. Most importantly, the decrease in the overall portfolio risk due to the low correlation of Bitcoin with other assets is not offset by its high volatility. However, the inclusion of Bitcoin pays off little if investors accommodate a battery of economic instruments. Considering non-bubble conditions that are not marked by explosive prices in cryptocurrencies, we document substantially diminished benefits.

Item Type: Article
Uncontrolled Keywords: bitcoin,portfolio,economic value,non-bubble,dynamic conditional correlation
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Related URLs:
Depositing User: LivePure Connector
Date Deposited: 11 Dec 2018 13:30
Last Modified: 17 Jul 2020 23:40
URI: https://ueaeprints.uea.ac.uk/id/eprint/69274
DOI: 10.1016/j.ribaf.2018.12.001

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