淡江大學機構典藏:Item 987654321/126686
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    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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