Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-05 DOI:10.1016/j.intfin.2025.102123

Minhao Leong , Vitali Alexeev , Simon Kwok

引用次数: 0

Abstract

We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures.

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管理股票投资组合中的加密货币风险敞口：来自高频数据的证据

我们研究了加密货币和股票投资组合之间不断变化的关系，发现比特币对股票投资组合主动风险的贡献随着时间的推移而增长，在防御策略中超过了10%。这凸显了投资专业人士量化和管理其投资组合中与加密相关的风险敞口的重要性日益增加，我们为这项任务提供指导。对于风险度量，我们使用日内回报来显着提高股票投资组合对加密货币风险敏感性的预测准确性。对于风险管理，我们主张直接对冲以实现最佳风险降低，并建议使用股票选择约束作为限制加密货币对投资组合风险敞口影响的替代方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.