Dynamic asymmetric dependence and portfolio management in cryptocurrency markets

Danyang Li, Yukun Shi, Liao Xu, Yahua Xu and Yang Zhao

Finance Research Letters, 2022, vol. 48, issue C

Abstract: As a new form of digital assets based on blockchain technology, the cryptocurrency has received increasing attention from researchers and practitioners. However, less attention has been paid to their joint dynamics from the perspective of portfolio management. This paper investigates the dependence dynamics across four major cryptocurrencies and their economic importance in portfolio management using the data from January 2014 to June 2020. Our empirical analysis shows that significant economic gains can be obtained from modelling dynamic asymmetric dependence among cryptocurrencies. We show that our results are robust to the period of the recent market fluctuations caused by COVID-19.

Keywords: Cryptocurrency; Dependence structure; Portfolio management; COVID-19 (search for similar items in EconPapers)
JEL-codes: F21 F37 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001295

DOI: 10.1016/j.frl.2022.102829

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