The green, the dirty and the stable: Diversifying equity portfolios by adding tokens of different nature

Carlos Esparcia, Tarek Fakhfakh and Francisco Jareño

The North American Journal of Economics and Finance, 2024, vol. 69, issue PB

Abstract: In this study we propose to empirically assess the potential diversification benefits of three types of cryptocurrencies (traditional: Bitcoin, green: Cardano and stablecoins: Tether) by including them in equity-based asset allocation strategies. We build monthly rebalanced minimum VaR portfolios based on different wavelet scales or investment horizons. We use the ADCC-GARCH model to fit the dynamic dependence structure. We find that traditional and green cryptocurrencies provide diversification opportunities when considering portfolio strategies based on short-term investment horizons. We also demonstrate that stablecoins may play the role of safe haven assets for those portfolio strategies based on long-term investment horizons.

Keywords: Stablecoins; Green cryptos; Dirty cryptos; Equities; Diversification; Portfolio rebalancing (search for similar items in EconPapers)
JEL-codes: C13 C22 C41 C58 G11 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940823001432
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001432

DOI: 10.1016/j.najef.2023.102020

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().