Portfolio diversification with cryptocurrencies – Evidence from Middle Eastern stock markets

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2022-01-02 DOI:10.1080/10293523.2022.2034354

Sunitha Kumaran

引用次数: 6

Abstract

ABSTRACT The appealing features of cryptocurrency in the digital money sector have put them into the category of investable assets. Investment professionals have begun to consider their investability and diversification benefits. It is vital for investors to understand the return-risk behaviour among investable assets to reap the benefits of diversification. This paper considers a proxy of cryptos, specifically Bitcoin, Litecoin, Ethereum, Ripple & Neo, and the Middle East stock market indices, to examine the dynamic relationship among them using the vector error correction model. This study found evidence to suggest that cryptos exhibit a co-integrated relationship while there is no evidence of significant cointegrated movements occurring between the cryptos and the market indices. The latter finding implies that cryptos are decoupled from the market indices and can serve as a diversification option for investors. The mean-variance approach confirms that cryptocurrencies fit into an optimal portfolio and involve an enhanced return-risk reward for investors.

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加密货币投资组合多元化——来自中东股市的证据

摘要加密货币在数字货币领域的吸引力使其成为可投资资产。投资专业人士已经开始考虑他们的可投资性和多元化收益。投资者必须了解可投资资产的回报风险行为，才能从多元化中获益。本文考虑了加密货币的代理，特别是比特币、莱特币、以太坊、Ripple&Neo和中东股市指数，使用向量纠错模型来检验它们之间的动态关系。这项研究发现有证据表明，加密货币表现出协整关系，而没有证据表明加密货币和市场指数之间发生了显著的协整运动。后一个发现意味着加密货币与市场指数脱钩，可以作为投资者的多元化选择。均值方差法证实，加密货币适合最佳投资组合，并为投资者带来更高的回报风险回报。

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

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.