A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2018; you can also visit the original URL.
The file type is application/pdf.
Filters
Digital Currency Risk
2018
International Journal of Economics and Finance
Preserved Fulltext
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
2020
Sosyoekonomi
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf.
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
2018
Quantitative Finance and Economics
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
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?
2019
Digital Finance
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
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
2021
Trends Journal of Sciences Research
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf.
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]
2021
Accounting and Finance Innovations
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf.
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
2020
Finance Research Letters
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
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
2021
Investment Management & Financial Innovations
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2022; you can also visit the original URL.
The file type is application/pdf.
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]
2022
arXiv
pre-print
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2022; you can also visit the original URL.
The file type is application/pdf.
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
2021
Financial Innovation
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf.
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
2020
Acta Scientiarum Polonorum - Oeconomia
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
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
2021
Journal of Risk and Financial Management
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf.
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
2019
Croatian Review of Economic, Business and Social Statistics
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
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
2015
British Journal of Economics, Management & Trade
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2019; you can also visit the original URL.
The file type is application/pdf.
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
2021
Discrete Dynamics in Nature and Society
Preserved Fulltext
A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2021; you can also visit the original URL.
The file type is application/pdf.
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
« Previous
Showing results 1 — 15 out of 5,295 results