Cryptocurrencies in portfolios: return–liquidity trade-off around China forbidding initial coin offerings

Sijia Zhang and Andros Gregoriou

Applied Economics Letters, 2021, vol. 28, issue 12, 1036-1040

Abstract: We examine diversification when cryptocurrencies are included in investment portfolios, around China prohibiting initial coin offerings on 4 September 2017. We discover, once we account for liquidity, that all portfolio diversification benefits of cryptocurrencies are eliminated.

Date: 2021
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DOI: 10.1080/13504851.2020.1796908

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