 The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?Sitara Karim, Brian Lucey, Muhammad Abubakr Naeem and Samuel A. Vigne Emerging Markets Review, 2023, vol. 54, issue C Abstract: Continuous financing of illicit activities (drug and human trafficking, child abuse, cybercrimes) through Bitcoin nurtures the ethical risk of investors. Building on this argument, the current study investigates the extreme tail dependence between Bitcoin and Emerging Asian Islamic (EAI) markets. We report multiple tail-dependent copulas differing across turmoil periods for the whole sample period. Under the ethical-risk hypothesis and modern portfolio theory, our findings demonstrated stronger safe-haven properties of EAIs for Bitcoin to mitigate ethical risk, and higher diversification benefits are documented for both equally adjusted and optimal portfolios. We formulated useful implications for policymakers, governments, regulation authorities, ethical investors, and portfolio managers for policymaking and strategizing their investment portfolios. Keywords: Bitcoin; Conditional diversification benefits; Emerging Asian Islamic (EAI) markets; Time-varying optimal copula (TVOC) (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000383 DOI: 10.1016/j.ememar.2022.100921 Access Statistics for this article Emerging Markets Review is currently edited by Jonathan A. Batten More articles in Emerging Markets Review from Elsevier |
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