The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/53571

Title:	The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing
Authors:	洪瑞成 Hung, Jui-Cheng
Contributors:	財務金融學系 Department of Banking and Finance
Keywords:	Bitcoin Futures Portfolio rebalancing RGARCH Volatility timing
Date:	2024-09
Issue Date:	2024-09-23 11:59:14 (UTC+8)
Publisher:	Elsevier Inc.
Abstract:	We investigate the economic value of adding Bitcoin, instead of Gold, to a traditional portfolio from the perspective of a volatility timing framework. Using futures data, we find that Bitcoin adds more value than Gold does to the portfolio during periods of dovish monetary policy. However, during periods of rapid rate hikes, Bitcoin destroys value while Gold offers safe haven and diversification benefits. Rebalancing strategies matter when considering adding alternative assets to a stock–bond portfolio in the presence of transaction costs. This study is timely given the macroeconomic environment of rate hikes and the downturn of cryptocurrencies.
Relation:	North American Journal of Economics and Finance, 74
Appears in Collections:	[Department of Banking & Finance ] periodical articles

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