Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

作     者：Muhammad Owais Qarni Saiqb Gulzar 

作者机构：COMSATS University Islamabad-Wah CampusWah CanttPunjabPakistan 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2021年第7卷第1期

页      面：343-379页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020206[经济学-国际贸易学] 

主　　题：Bitcoin Spillover index Major trading currencies Spillover asymmetry measure Frequency connectedness 

摘      要：This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange *** following methods are applied for the analysis:the spillover index method of Diebold and Yilmaz(Int J Forecast 28(1):57–66,***://***/10.1016/*** ecast.2011.02.006),the spillover asymmetry measures of Barunik et al.(J Int Money Finance 77:39–56,***://***/10.1016/*** fin.2017.06.003),and the frequency connectedness method of Barunik and Křehlik(J Financ Econom 16(2):271–296,***://***/10.1093/jjfin ec/nby001).The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies(US dollar,euro,Japanese yen,British pound sterling,Australian dollar,and Canadian dollar).Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange *** currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading *** findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.