Dynamic asymmetric dependence and portfolio management in cryptocurrency markets

Li, D., Shi, Y. , Xu, L., Xu, Y. and Zhao, Y. (2022) Dynamic asymmetric dependence and portfolio management in cryptocurrency markets. Finance Research Letters, 48, 102829. (doi: 10.1016/j.frl.2022.102829)

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Abstract

As a new form of digital assets based on blockchain technology, the cryptocurrency has received increasing attention from researchers and practitioners. However, less attention has been paid to their joint dynamics from the perspective of portfolio management. This paper investigates the dependence dynamics across four major cryptocurrencies and their economic importance in portfolio management using the data from January 2014 to June 2020. Our empirical analysis shows that significant economic gains can be obtained from modelling dynamic asymmetric dependence among cryptocurrencies. We show that our results are robust to the period of the recent market fluctuations caused by COVID-19.

Item Type:Articles
Additional Information:All authors acknowledge research support from their institutions, and Zhao specifically acknowledges financial support from the National Natural Science Foundation of China (Grant No. 71801117, 71973162).
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Shi, Dr Yukun
Authors: Li, D., Shi, Y., Xu, L., Xu, Y., and Zhao, Y.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Finance Research Letters
Publisher:Elsevier
ISSN:1544-6123
ISSN (Online):1544-6131
Published Online:06 April 2022
Copyright Holders:Copyright © 2022 Elsevier Inc.
First Published:First published in Finance Research Letters 48: 102829
Publisher Policy:Reproduced in accordance with the publisher copyright policy

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