Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications

Walid Mensi, Mobeen Ur Rehman, Khamis Hamed Al-Yahyaee, Idries Mohammad Wanas Al-Jarrah, Sang Hoon Kang*

*المؤلف المقابل لهذا العمل

نتاج البحث: المساهمة في مجلةArticleمراجعة النظراء

65 اقتباسات (Scopus)

ملخص

This 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.

اللغة الأصليةEnglish
الصفحات (من إلى)283-294
عدد الصفحات12
دوريةNorth American Journal of Economics and Finance
مستوى الصوت48
المعرِّفات الرقمية للأشياء
حالة النشرPublished - أبريل 2019

ASJC Scopus subject areas

  • ???subjectarea.asjc.2000.2003???
  • ???subjectarea.asjc.2000.2002???

بصمة

أدرس بدقة موضوعات البحث “Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies: Portfolio risk management implications'. فهما يشكلان معًا بصمة فريدة.

قم بذكر هذا