Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review

José Almeida and Tiago Gonçalves ()
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José Almeida: ISEG—Lisbon School of Economics & Management, Universidade de Lisboa, Advance/CSG, 1200-781 Lisboa, Portugal

JRFM, 2022, vol. 16, issue 1, 1-25

Abstract: Our study collected and synthetized the existing knowledge on portfolio diversification, hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies published in journals ranked in the Association of Business Schools 2021 journals list, considering all fields of knowledge, and elaborated a systematic literature review along with a bibliometric analysis. Our results indicate a fast-growing literature evidencing cryptocurrencies’ ability to hedge against stocks, fiat currencies, geopolitical risks, and Economic Policy Uncertainty (EPU) risk; also, that cryptocurrencies present diversification and safe-haven properties; that stablecoins reveal unstable peg with the US dollar; that uncertainty is a determinant for cryptocurrency returns. Additionally, we show that investors should consider Gold, along with the European carbon market, CBOE Bitcoin futures, and crude oil to hedge against unexpected movements in the cryptocurrency market.

Keywords: cryptocurrencies; bitcoin; hedge; safe-haven; portfolio diversification; SLR (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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