Investment in Bitcoin : A Delusion or Diligence?

Q2 Economics, Econometrics and Finance

Indian Journal of Finance Pub Date : 2022-07-01 DOI:10.17010/ijf/2022/v16i7/170632

Monika Chopra, Rupish Saldi

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Abstract

Bitcoin investment gained great research interest, especially after the onset of the COVID-19 pandemic, a period marked by huge volatility in this asset class. This study investigated Bitcoin’s persistence and hedging properties in the pre-COVID era to establish its efficiency and safety by testing relevant data. We evaluated the role of persistence in Bitcoin trading to highlight its efficiency. The GPH estimator and ARFIMA were used to map the evolving efficiency of the Bitcoin price. Our analysis of intra-day data exhibited the presence of an anti-persistence effect, following the popular conclusion of momentum and speculative trading in the Bitcoin market. The second section of this study evaluated whether Bitcoin played the role of a hedge and an asset of protection in a global portfolio manager’s portfolio during extreme market volatility. Using the Threshold GARCH (TGARCH), we evaluated the trading correlation between Bitcoin prices and four major indices, namely S & P 500, FTSE, Hang Seng, and Nikkei, on daily and weekly data. We identified the time-varying hedge and safety properties of Bitcoin: Volatility, speculation, less-traded history, and lack of regulatory infrastructure. Our findings added to the literature by testing the efficiency of Bitcoin in major developed economies using returns of high-frequency data, along with daily returns. We also considered extreme movements in the currency to check its hedging and protection properties in a portfolio of developed market stocks. We recommended that investors be cautious when combining this currency with different stock markets based on our findings. © 2022, Associated Management Consultants Pvt. Ltd.. All rights reserved.

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投资比特币:是错觉还是勤奋?

比特币投资获得了极大的研究兴趣，尤其是在新冠肺炎疫情爆发后，这一时期该资产类别波动巨大。这项研究调查了比特币在前新冠肺炎时代的持久性和对冲特性，通过测试相关数据来确定其效率和安全性。我们评估了持续性在比特币交易中的作用，以突出其效率。GPH估计器和ARFIMA用于绘制比特币价格的演变效率。根据比特币市场动量和投机交易的流行结论，我们对日内数据的分析显示存在反持久性效应。本研究的第二部分评估了比特币在极端市场波动期间是否在全球投资组合经理的投资组合中发挥了对冲和保护资产的作用。使用阈值GARCH（TGARCH），我们根据每日和每周数据评估了比特币价格与四大指数（即标准普尔500指数、富时指数、恒生指数和日经指数）之间的交易相关性。我们确定了比特币随时间变化的对冲和安全特性：波动性、投机、交易历史较少以及缺乏监管基础设施。我们的研究结果通过使用高频数据的回报率和每日回报率测试主要发达经济体的比特币效率，为文献增添了内容。我们还考虑了货币的极端波动，以检查其在发达市场股票投资组合中的对冲和保护特性。根据我们的调查结果，我们建议投资者在将这种货币与不同的股市组合时要谨慎。©2022，Associated Management Consultants Pvt.有限公司。保留所有权利。

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

Indian Journal of Finance Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： a source of sophisticated analysis of developments in the rapidly expanding world of finance, is a double blind peer reviewed refereed monthly journal that publishes articles on a wide variety of topics ranging from corporate to personal finance, insurance to financial economics, and derivatives. It provides a forum for exchange of ideas and techniques among academicians and practitioners and thereby, advances applied research in financial management. The journal, with its mission to promote thinking on various facets of finance, is targeted at academicians, scholars, and professionals associated with the field of finance to promote pragmatic research by disseminating the results of research in finance, accounting, financial economics, and sub - areas such as theory and analysis of fiscal markets and instruments, financial derivatives research, insurance, portfolio selection, credit and market risk, statistical and empirical financial studies based on advanced stochastic methods, financial instruments for risk management, uncertainty, and information in relation to finance.