 Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?Nikolaos Kyriazis, Stephanos Papadamou, Panayiotis Tzeremes and Shaen Corbet Research in International Business and Finance, 2023, vol. 64, issue C Abstract: This paper investigates the non-linear causal nexus at lower, medium, and upper quantiles that cryptocurrencies can generate as a hedging mechanism for international benchmark indices, as represented by the MSCI World index and its sectoral sub-indices. Significant causality-in-mean between each of the assets examined is detected at lower quantiles only in a small number of sectors, whereas all analysed assets are found to trigger important non-linear causal impacts on the volatility of the selected benchmark indices, particularly during periods denoted to possess significant asset price fluctuations. From a financial perspective, this result suggests that cryptocurrencies are developing to possess a very similar ability to that of long-standing traditional financial assets, serving as a hedging mechanism against extreme fluctuations within investor portfolios that include MSCI constituents during a variety of very different market conditions. Keywords: Cryptocurrencies; Gold; Commodities; EPU; MSCI world index; Global indices (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:riibaf:v:64:y:2023:i:c:s0275531922002185 DOI: 10.1016/j.ribaf.2022.101832 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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