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Digital Currency Risk

Scott Gilbert, Hio Loi
2018 International Journal of Economics and Finance  
Setting aside risks of seller fraud or currency theft, we examine fluctuation and systematic risk in the price of Bitcoin.  ...  From this perspective, Bitcoin does not appear to carry much systematic risk -- despite its high volatility -- and so is a reasonable candidate for inclusion in investors' portfolios.  ...  The CAPM suggests that a return of an asset equals to the risk-free rate plus the product of risk measure and excess market return.  ... 
doi:10.5539/ijef.v10n2p108 fatcat:pz64q3pzhrbg5ho2zdghoiek5y

The relationship between stock returns, Bitcoin returns, and risk aversion: Evidence from a Multivariate GARCH Model

Perihan İREN, Ayşen SİVRİKAYA, Tolga UMAY
2020 Sosyoekonomi  
Specifically, the study compares the reactions of Bitcoin and stock market returns in the presence of global uncertainties and changes in risk appetites.  ...  The results show that even though reactions of Bitcoin and stock returns are similar for some highly volatile or risk averse periods, the association between the two returns is not sustainable.  ...  Although Bitcoin is the most popular cryptocurrency with the highest market capitalization, there are also some other strong alternative cryptocurrencies such as Ripple, Litecoin, Ethereum.  ... 
doi:10.17233/sosyoekonomi.2021.01.05 fatcat:4qvwsa3c35e2jl6zohhx4kyviy

Asymmetric Effects on Risks of Virtual Financial Assets (VFAs) in different regimes: A Case of Bitcoin

Zhenghui Li, Hao Dong, Zhehao Huang, Pierre Failler
2018 Quantitative Finance and Economics  
By establishing a Markov regime-switching Regression (MSR) Model, we explore the asymmetric effects of speculation, investor attention, and market interoperability on return risks in different risk regimes  ...  The results show that the influences of speculation and investor attention on the risks of VFAs are significantly positive at all regimes, while market interoperability only admits a positive impact on  ...  Market interoperability causes high risks. Speculators and investors influence the return risks of VFAs differently.  ... 
doi:10.3934/qfe.2018.4.860 fatcat:ui22ea6jobakpn2vnrm3365et4

Could stock hedge Bitcoin risk(s) and vice versa?

David Iheke Okorie
2019 Digital Finance  
Daily series of return and volume within the window of the ICO ban in China was used for the Bitcoin market and S&P500 stock market to examine the effect of a government risk in the Bitcoin market and  ...  Empirical results show that the ban dampened Bitcoin returns and the returns from each market can predict the other.  ...  volatility spill over between a cryptocurrency market and a stock market (Bitcoin and S&P500 stock markets); and investigate the possibilities of hedging Bitcoin return risks with S&P500 stocks as well  ... 
doi:10.1007/s42521-019-00011-0 fatcat:wgwxvfhvubhoxhpwqrzfrrfl34

Application of Stochastic Dominance in Hedging Decision during COVID-19 Pneumonia Emergency Events

Wen Hsiang Chiu*, Shih-Wei Hung
2021 Trends Journal of Sciences Research  
Therefore, this study discusses the outbreak of COVID-19 in China, which has affected financial markets and has led investors to avoid risks through investing in traditional financial products or Bitcoin  ...  We found that during the time of the COVID-19 pneumonia, Bitcoin and gold futures were used for hedging transactions in the face of unstable Chinese market conditions and under the pursuit of investors  ...  return of the Bitcoin market.  ... 
doi:10.31586/ujssh.2021.010102 fatcat:gykly7px7fax5jcetd7a3mli3q

Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment Instrument [chapter]

Sunita Dasman
2021 Accounting and Finance Innovations  
Then, we calculate the return and risk of individual investment instruments.  ...  The investors should understand the characteristic of bitcoin in term of rate of returns and also the risk. This study also contributes to government of Indonesia on crypto currency development.  ...  Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment Instrument DOI: http://dx.doi.org/10.5772/intechopen.99910 Analysis of Return and Risk of Cryptocurrency Bitcoin Asset as Investment  ... 
doi:10.5772/intechopen.99910 fatcat:542sbyfgnffpxip7kfuam7jn6i

Safe Haven or Risky Hazard? Bitcoin during the Covid-19 Bear Market

Thomas Conlon, Richard McGee
2020 Finance Research Letters  
When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk.  ...  The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began.  ...  Table 1 highlights summary statistics for returns corresponding to the S&P 500, Bitcoin and a mix portfolio consisting of 10% Bitcoin and 90% S&P 500.  ... 
doi:10.1016/j.frl.2020.101607 pmid:32550843 pmcid:PMC7246008 fatcat:bcll3yf25vev7j5d3o2ofizk5m

Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic

Edgardo Cayón Fallon, Julio Sarmiento
2021 Investment Management & Financial Innovations  
This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic.  ...  Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks.  ...  Figure 2 shows a trend at the price level for Bitcoin and the S&P Global Broad Market Index (BMI). The present study aims to model the unique component of the total risk of Bitcoin (BTC) returns.  ... 
doi:10.21511/imfi.18(4).2021.19 fatcat:smqes5fecrhkvcin4rpfxw42ve

Evaluating the Impact of Bitcoin on International Asset Allocation using Mean-Variance, Conditional Value-at-Risk (CVaR), and Markov Regime Switching Approaches [article]

Mohammadreza Mahmoudi
2022 arXiv   pre-print
This paper aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches.  ...  However, the Bitcoin return does not have both of these characteristics.  ...  Although adding Bitcoin to a well-diversified international portfolio increased the CVaR, the high return of Bitcoin leads to overcompensating the risk and better risk-return ratio.  ... 
arXiv:2205.00335v1 fatcat:7kgjt4cflfgpnbt6zsbfkccp4a

On the factors of Bitcoin's value at risk

Ji Ho Kwon
2021 Financial Innovation  
The 5% VaR responds positively to the Internet search index and negatively to the fluctuation of returns on commodity variables and the Chinese stock market index.  ...  AbstractThis study investigates the factors of Bitcoin's tail risk, quantified by Value at Risk (VaR).  ...  and extreme risks of Bitcoin.  ... 
doi:10.1186/s40854-021-00297-3 fatcat:uydcg3iqcvfrzplphr6dsknjcq

CRYPTOCURRENCIES AS A SUBJECT OF FINANCIAL INVESTMENTS. RISK ANALYSIS AND POTENTIAL BENEFITS ON THE EXAMPLE OF BITCOIN

Paweł Perz, Agata Gemzik-Salwach
2020 Acta Scientiarum Polonorum - Oeconomia  
The main risks related to investments in cryptocurrency were analyzed on the example of bitcoin, and the rate of return and correlations with changes in the currency prices of other financial instruments  ...  The aim of the article is to analyze the potential risks and benefits of investing in cryptocurrencies.  ...  Acknowledgements The article is the result of the project: International Scientific Conference "Financialization and Society", implemented by the University of Information Technology and Management based  ... 
doi:10.22630/aspe.2020.19.2.13 fatcat:nshw2dlvijbvjgb7qqxkb2cela

Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach

Walid Bakry, Audil Rashid, Somar Al-Mohamad, Nasser El-Kanj
2021 Journal of Risk and Financial Management  
This study suggests that Bitcoin, due to its exotic nature, unwavering appeal, and unknown set of drivers, could act as a diversifier in normal market conditions, and it might also have some borderline  ...  The performance attributes are evaluated by comparing the portfolios both with and without Bitcoin under frameworks ranging from equal-weighted, risk-parity, and semi-constrained to unconstrained.  ...  Bitcoin by comparing the risk-return metrics of the optimized portfolios.  ... 
doi:10.3390/jrfm14070282 fatcat:rensy2onvndjfdueq4xwn6g72y

The impact of cryptocurrency on the efficient frontier of emerging markets

Karlo Ćosić, Anita Čeh Časni
2019 Croatian Review of Economic, Business and Social Statistics  
are smaller and with higher returns than those of portfolios without Bitcoin.  ...  The empirical analysis indicates that Bitcoin improves the effectiveness of the portfolio in emerging markets of the selected EU countries, where the expected risks of a portfolio that includes the cryptocurrency  ...  This paper analyses how inclusion of Bitcoin in the portfolio that consists of four emerging market indices affects the portfolio risk-return points and efficient frontier.  ... 
doi:10.2478/crebss-2019-0012 fatcat:lixa6wmnkfabjc5rakaenfrfva

Bitcoin: Exchange Rate Parity, Risk Premium, and Arbitrage Stickiness

Huijian Dong, Weiguo Dong
2015 British Journal of Economics, Management & Trade  
Bitcoin, as investment objectives instead of currency unit, is associated with excess risk and low returns.  ...  Using daily data of the exchange rates quoted from the world major Bitcoin dealer since the inception of Bitcoin and the spot market exchange rates, we calculate the triangle arbitrage asset price to decompose  ...  We also find that Bitcoin, as investment objectives, as associated with excess risk and low returns.  ... 
doi:10.9734/bjemt/2015/13308 fatcat:ocmoislwybhbpatowlgzrbxbom

Dependence and Risk Spillover among Hedging Assets: Evidence from Bitcoin, Gold, and USD

Jiang Yu, Yue Shang, Xiafei Li, Dehua Shen
2021 Discrete Dynamics in Nature and Society  
Finally, the risk spillover between Bitcoin and gold as well as between gold and USD are asymmetric at downward and upward market environment.  ...  Secondly, risk spillovers exist only between Bitcoin and gold and between gold and USD.  ...  and USD returns and lists the unconditional correlations between gold and Bitcoin and USD returns.  ... 
doi:10.1155/2021/2010705 fatcat:4mhhx4t5bfbgjiw6pngyhf3poe
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