EconPapers    
Economics at your fingertips  
 

Diversification, integration and cryptocurrency market

Sofia Anyfantaki, Stelios Arvanitis and Nikolas Topaloglou
Additional contact information
Stelios Arvanitis: Athens University of Economics and Business

No 244, Working Papers from Bank of Greece

Abstract: We investigate the degree to which cryptocurrencies provide diversification benefits to an investor. We use a stochastic spanning methodology to construct optimal portfolios with and without cryptocurrencies, evaluating their comparative performance both in- and out-of-sample. Empirical analysis seems to indicate that the expanded investment universe with cryptocurrencies dominates the traditional one with stocks, bonds and cash, yielding potential diversification benefits and providing better investment opportunities for some risk averse investors. We further explain our results by documenting that cryptocurrency markets are segmented from the equity and bond markets.

Keywords: cryptocurrencies; portfolio choice; second order stochastic dominance; stochastic spanning; diversification; market integration; market segmentation (search for similar items in EconPapers)
JEL-codes: C12 C14 D81 G11 (search for similar items in EconPapers)
Pages: 33
Date: 2018-04
New Economics Papers: this item is included in nep-ore and nep-pay
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://www.bankofgreece.gr/BogEkdoseis/Paper2018244.pdf Full Text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

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:bog:wpaper:244

Access Statistics for this paper

More papers in Working Papers from Bank of Greece Contact information at EDIRC.
Bibliographic data for series maintained by Anastasios Rizos ().

 
Page updated 2024-11-05
Handle: RePEc:bog:wpaper:244