| 題名: | The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing |
| 作者: | Hung, Jui-Cheng;Liu, Hung-Chun;Yang, J. Jimmy |
| 關鍵詞: | Bitcoin;Volatility timing;Portfolio rebalancing;RGARCH;Futures |
| 日期: | 2024-09 |
| 上傳時間: | 2025-01-23 12:05:29 (UTC+8) |
| 出版者: | Elsevier |
| 摘要: | We investigate the economic value of adding Bitcoin, instead of Gold, to a traditional portfolio from the perspective of a volatility timing framework. Using futures data, we find that Bitcoin adds more value than Gold does to the portfolio during periods of dovish monetary policy. However, during periods of rapid rate hikes, Bitcoin destroys value while Gold offers safe haven and diversification benefits. Rebalancing strategies matter when considering adding alternative assets to a stock–bond portfolio in the presence of transaction costs. This study is timely given the macroeconomic environment of rate hikes and the downturn of cryptocurrencies. |
| 關聯: | North American Journal of Economics and Finance, 74, 102260 |
| DOI: | 10.1016/j.najef.2024.102260 |
| 顯示於類別: | [財務金融學系暨研究所] 期刊論文
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