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المؤلفCharfeddine, Lanouar
المؤلفBenlagha, Noureddine
المؤلفMaouchi, Youcef
تاريخ الإتاحة2022-12-27T08:14:14Z
تاريخ النشر2020
اسم المنشورEconomic Modelling
المصدرScopus
معرّف المصادر الموحدhttp://dx.doi.org/10.1016/j.econmod.2019.05.016
معرّف المصادر الموحدhttp://hdl.handle.net/10576/37632
الملخصCryptocurrencies 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.
اللغةen
الناشرElsevier
الموضوعBitcoin
Cryptocurrencies
Diversification benefits
Dynamic relationship
Ethereum
Hedging
العنوانInvestigating the dynamic relationship between cryptocurrencies and conventional assets: Implications for financial investors
النوعArticle
الصفحات198-217
رقم المجلد85
dc.accessType Abstract Only


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