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AuthorMensi W.
AuthorRehman M.U.
AuthorAl-Yahyaee K.H.
AuthorAl-Jarrah I.M.W.
AuthorKang S.H.
Available date2020-04-16T06:56:45Z
Publication Date2019
Publication NameNorth American Journal of Economics and Finance
ResourceScopus
ISSN10629408
URIhttp://dx.doi.org/10.1016/j.najef.2019.02.013
URIhttp://hdl.handle.net/10576/14200
AbstractThis paper uses wavelet coherence and cross wavelet transform approaches to examine co-movement between Bitcoin and five major cryptocurrencies (Dash, Ethereum, Litecoin, Monero and Ripple) and their portfolio risk implications. The results show evidence of co-movements in time frequency space with leading relationships of Bitcoin with Dash, Monero and Ripple, lagging relationship with Ethereum, and out of phase movements with Litecoin. By considering different portfolios (risk-minimizing portfolio, equally weighted portfolio and hedging portfolio), we show evidence that a mixed portfolio (Bitcoin with other cryptocurrencies) provides better diversification benefits for investors and portfolio managers. Finally, an Ethereum-Bitcoin (Monero-Bitcoin) hedging portfolio offers the highest risk reductions and hedging effectiveness under medium and long term (short term) horizon. The results of downside risk reductions are time horizon dependent.
SponsorThe last author (Sang Hoon Kang) acknowledges the financial support provided by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea ( NRF-2017S1A5A8019204 ).
Languageen
PublisherElsevier Inc.
SubjectCryptocurrencies
Downside risk
Hedging effectiveness
Time frequency analysis
Wavelet techniques
TitleTime frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications
TypeArticle
Pagination283-294
Volume Number48
dc.accessType Abstract Only


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