The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing
學年 113
學期 1
出版（發表）日期 2024-09-01
作品名稱 The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing
作品名稱（其他語言）
著者 Jui-Cheng Hung; Hung-Chun Liu; J. Jimmy Yang
單位
出版者
著錄名稱、卷期、頁數 North American Journal of Economics and Finance, 74, 102260
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.
關鍵字 Bitcoin; Volatility timing; Portfolio rebalancing; RGARCH; Futures
語言 en
ISSN 1879-0860
期刊性質 國內
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版