文章基本信息

标题：Cryptocurrencies and Investment Diversification: Empirical Evidence from Seven Largest Cryptocurrencies
本地全文：下载
作者：Nguyen Phuc Canh ; Nguyen Quang Binh ; Su Dinh Thanh 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2019
卷号：9
期号：3
页码：431-452
DOI：10.4236/tel.2019.93031
出版社：Scientific Research Publishing
摘要：The study examines the diversification capability of seven cryptocurrencies with the largest market size against risks from economic factors as oil price, gold price, interest rate, USD strength, and S&P500. Using the weekly data of Bitcoin, Litecoin, Ripple, Stellar, Monero, Dash, and Bytecoin in the period Aug/2014-Jun/2018, the study finds that there are structural breaks and ARCH disturbance in each cryptocurrency, suggesting a systematic risk within the cryptocurrency market. However, the causality between cryptocurrencies and economic factors is undirected. Interestingly, our findings show that cryptocurrencies are insignificant correlations with economic factors. The result implies that cryptocurrencies can not be assumed as financial assets to hedge systematic risks from economic factors.
关键词：Cryptocurrency;Economic Factors;Systematic Risk