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

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题名:	The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing
作者:	洪瑞成 Hung, Jui-Cheng
贡献者:	財務金融學系 Department of Banking and Finance
关键词:	Bitcoin Futures Portfolio rebalancing RGARCH Volatility timing
日期:	2024-09
上传时间:	2024-09-23 11:59:14 (UTC+8)
出版者:	Elsevier Inc.
摘要:	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.
關聯:	North American Journal of Economics and Finance, 74
显示于类别:	[財務金融學系 ] 期刊論文

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