Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic |
| |
Institution: | 1. Indian Institute of Management Indore, India;2. Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Islamabad, Pakistan;3. South Ural State University, 76, Lenin Prospekt, Chelyabinsk, Russian Federation;4. PNU Business School, Pusan National University, Busan, South Korea |
| |
Abstract: | Using the five-minute interval price data of two cryptocurrencies and eight stock market indices, we examine the risk spillover and hedging effectiveness between these two assets. Our approach provides a comparative assessment encompassing the pre-COVID-19 and COVID-19 sample periods. We employ copula models to assess the dependence and risk spillover from Bitcoin and Ethereum to stock market returns during both the pre-COVID-19 and COVID-19 periods. Notably, the COVID-19 pandemic has increased the risk spillover from Bitcoin and Ethereum to stock market returns. The findings vis-à-vis portfolio weights and hedge effectiveness highlight hedging gains; however, optimal investments in Bitcoin and Ethereum have reduced during the COVID-19 pandemic, while the cost of hedging has increased during this period. The findings also confirm that cryptocurrencies cannot provide incremental gains by hedging stock market risk during the COVID-19 pandemic. |
| |
Keywords: | Cryptocurrency Stock market Risk spillover Portfolio diversification COVID-19 G14 G15 |
本文献已被 ScienceDirect 等数据库收录! |
|