From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks

Roman Matkovskyy, Akanksha Jalan, Michael Dowling and Taoufik Bouraoui
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Akanksha Jalan: ESC [Rennes] - ESC Rennes School of Business
Michael Dowling: ESC [Rennes] - ESC Rennes School of Business
Taoufik Bouraoui: ESC [Rennes] - ESC Rennes School of Business

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Abstract: This study attempts to analyze the ability of the top 10 cryptocurrencies in enhancing portfolio returns of the 10 worst-performing stocks in the S&P600, S&P400 and S&P100 indexes, to match those of the 10 best-performing stocks therein. Applying probabilistic utility approach with different algorithms and time horizons, we find that addition of cryptocurrencies to traditional stock portfolios adds value in terms of enhancing returns. This is consistent with the growing literature on the hedging properties of cryptocurrencies against traditional financial assets.

Date: 2021-01
Note: View the original document on HAL open archive server: https://hal.science/hal-04273124
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Citations: View citations in EconPapers (3)

Published in Finance Research Letters, 2021, 38, pp.101405. ⟨10.1016/j.frl.2019.101405⟩

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Journal Article: From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04273124

DOI: 10.1016/j.frl.2019.101405

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