Safe-haven properties and portfolio applications of cryptocurrencies: Evidence from the emerging markets

Erkan Ustaoglu

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: This paper investigates the hedging and safe-haven properties of Bitcoin (BTC) and Ethereum (ETH) for emerging stock market (ESM) indices. The results show all hedging costs are increasing during the pandemic. When the study's hedging effectiveness is generally evaluated, BTC provides better protection against ESM indices than ETH. Moreover, during the pre–pandemic period, investors should create portfolios using an optimal weights-based strategy rather than a hedged portfolio-based strategy. Finally, while BTC and ETH have weak safe-haven properties against most ESM indices, only BTC have strong safe-haven properties against the Malaysia stock index during the pandemic period.

Keywords: COVID-19; Safe-haven; Cryptocurrency; Hedging effectiveness; Emerging market; Hedge (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000423

DOI: 10.1016/j.frl.2022.102716

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