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AuthorCharfeddine, Lanouar
AuthorBenlagha, Noureddine
AuthorMaouchi, Youcef
Available date2022-12-27T08:14:14Z
Publication Date2020
Publication NameEconomic Modelling
ResourceScopus
URIhttp://dx.doi.org/10.1016/j.econmod.2019.05.016
URIhttp://hdl.handle.net/10576/37632
AbstractCryptocurrencies are gradually establishing themselves as a new class of assets with unique features, although there remains skepticism and a lack of understanding of their nature. In this study, we compare the financial properties of these new digital assets and investigate their dynamic relationship with major financial securities and commodities. Furthermore, we evaluate the economic and financial potential benefits of cryptocurrencies for financial investors. Using different time-varying copula approaches and bivariate dynamic conditional correlation GARCH models, we find that the cross-correlation with conventional assets is changing over time but weak, supporting the idea that these cryptocurrencies can be suitable for financial diversification. However, our analysis of portfolios shows that cryptocurrencies are poor hedging instruments in most of the considered cases. Moreover, we find that the relationship between cryptocurrencies and conventional assets is sensitive to external economic and financial shocks. 2019 Elsevier B.V.
Languageen
PublisherElsevier
SubjectBitcoin
Cryptocurrencies
Diversification benefits
Dynamic relationship
Ethereum
Hedging
TitleInvestigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors
TypeArticle
Pagination198-217
Volume Number85
dc.accessType Abstract Only


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