Economics at your fingertips  

On the investment credentials of Bitcoin: A cross-currency perspective

Prateek Bedi and Tripti Nashier

Research in International Business and Finance, 2020, vol. 51, issue C

Abstract: We examine diversification capabilities of Bitcoin for a global portfolio spread across six asset classes from the standpoint of investors dealing in five major fiat currencies namely US Dollar, Great Britain Pound, Euro, Japanese Yen and Chinese Yuan. Considering the period of prolonged decline in Bitcoin’s value throughout 2018, we employ modified conditional value-at-risk and standard deviation as measures of risk to perform portfolio optimisations across three asset allocation strategies. Results show that portfolios denominated in Japanese Yen, Chinese Yuan and US Dollar account for greater proportion of optimal investment in Bitcoin and exhibit higher improvement in risk-adjusted returns due to investment in Bitcoin. We also perform a comprehensive risk-adjusted evaluation of portfolios with and without Bitcoin to reinforce striking variation in degree of diversification benefits of Bitcoin in a cross-currency context. Taken together, our findings provide insights into sharp disparity in Bitcoin trading volumes across national currencies from a portfolio theory perspective.

Keywords: Bitcoin; Modified conditional value-at-risk; Portfolio diversification; Portfolio optimisation; Performance evaluation; Cross-currency analysis (search for similar items in EconPapers)
JEL-codes: D81 G11 G15 C61 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
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:

DOI: 10.1016/j.ribaf.2019.101087

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
Bibliographic data for series maintained by Nithya Sathishkumar ().

Page updated 2021-03-09
Handle: RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722