Tail-event driven network of cryptocurrencies and conventional assets

Jiang, Wensheng; Xu, Qiuhua; Zhang, Ruige

doi:10.1016/j.frl.2021.102424

Cited by 19 publications

(5 citation statements)

References 38 publications

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“…And for Russian-Ukrainian Conflict Period, portfolio 5's highest return of approximately 22.36% during this period indicates strong performance despite geopolitical tensions. This period's analysis supports the findings of Gao et al (2024), who examined the interdependence of cryptocurrencies and traditional financial assets during times of crisis.…”

Section: Portfolio Returns By Strategysupporting

confidence: 83%

Comparative Analysis of Cryptocurrency Portfolio Strategies Integrating ESG Criteria Across Market Conditions and Time Periods

Chaiyarit,

Phuensane

2024

RGSA

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Objective: This study investigates how Environmental, Social, and Governance (ESG) criteria can be integrated into cryptocurrency portfolio strategies, evaluating their performance across different market conditions and time periods. Theoretical Framework: This research is based on Modern Portfolio Theory (MPT) and principles of ESG investing. The study uses Markowitz's mean-variance optimization and the triple bottom line approach to understand the benefits of ESG integration in investment strategies. Method: The research involves a comparative analysis of various cryptocurrency portfolio strategies, including Buy-and-Hold, Simple Moving Average (SMA), MinVar, and MaxSharpe. Data was collected daily from October 1, 2016, to September 31, 2021. The study uses mean-variance analysis to assess risk-return profiles, incorporating ESG factors into the evaluation framework. Results and Discussion: The results show that the Buy-and-Hold strategy consistently yielded the highest returns across most portfolios. However, during volatile periods, strategies like MinVar and MaxSharpe provided better risk-adjusted returns. The discussion contextualizes these results within the theoretical framework, highlighting how ESG integration enhances risk management and aligns investments with sustainable development goals (SDGs). Research Implications: This research suggests that integrating ESG criteria into cryptocurrency portfolios can improve risk management and align investments with sustainability goals. These findings have practical implications for investment strategy development and sustainable finance practices. Originality/Value: This study offers a unique analysis of cryptocurrency portfolio strategies that incorporate ESG criteria. Its findings are relevant for influencing sustainable investment practices and optimizing cryptocurrency portfolios in line with ESG principles.

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Section: Portfolio Returns By Strategysupporting

confidence: 83%

Comparative Analysis of Cryptocurrency Portfolio Strategies Integrating ESG Criteria Across Market Conditions and Time Periods

Chaiyarit,

Phuensane

2024

RGSA

View full text Add to dashboard Cite

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“…However, the quick increase of the connectedness suggests that it was not only the gains that cryptocurrencies and stock markets shared through the monetary injections but also the fear and losses due to the pandemic spreading. The role of cryptocurrencies as safe-havens against risks in the traditional markets and stock markets specifically is not corroborated by this latest shock to the financial stability which concords with the results of Shahzad et al, 2019 , Conlon and McGee, 2020 , Kristoufek, 2020 , Rubbaniy et al, 2021 , Chemkha et al, 2021 , Choi and Shin, 2021 , and Jiang et al (2021) . Fig.…”

Section: Resultsmentioning

confidence: 64%

Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

Kumar

Iqbal

Mitra

et al. 2022

Journal of International Financial Markets, Institutions and Mo

108

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“…Furthermore,Huang et al (2022) investigated the diversification advantages of nine cryptocurrencies and discovered that six of them offer considerable diversification benefits, suggesting that the lower the investor risk aversion, the more beneficial cryptocurrencies are as portfolio diversifiers. During uncertain economic environments, such as the Covid-19 pandemic period, cryptocurrencies provide the same diversification benefits as in more stable environments.The authors,Jiang et al (2022) analyzed the synchronizations between cryptocurrencies and conventional assets from a market risk perspective, demonstrating the existence of risk spillovers, which contradicts the majority of the research that verifies Bitcoin's separation from traditional assets. In addition, this article finds two significant network factors to explain the return of cryptocurrencies.…”

mentioning

confidence: 87%

Cryptocurrencies and G7 capital markets integrate in periods of extreme volatility?

Horta¹,

Dias²,

Revez³

et al. 2022

J Process Man & New Technol

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The purpose of this study is to examine the synchronism between the US capital markets (DJ, S&P 500), the United Kingdom (FTSE 100), Canada (S&P/TSX), Germany (DAX 30), France (CAC 40), Japan (Nikkei 225), Italy (Italy Ds Market and major cryptocurrencies such as Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), and the Crypto 10 index, from February 2018 to November 2021. Based on the findings, we found that BTC and ETH cryptocurrencies drastically reduced their level of integration with their peers over the 2020 worldwide pandemic era, whereas LTC maintained. We also discovered that the Dow Jones, S&P 500, and DAX 30 stock indexes lowered their level of integration when compared to the pre-covid subperiod. For the UK capital market (FTSE 100), Canada (S&P/TSX), Japan (Nikkei 225), France (CAC 40), and Italy (Italy Ds Market) the level of integration increased significantly. These findings support, in part, our research question, that during periods of stress and uncertainty in the global economy capital markets tend towards integration, thus calling into question the hypothesis of efficient portfolio diversification.

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Tail-event driven network of cryptocurrencies and conventional assets

Cited by 19 publications

References 38 publications

Comparative Analysis of Cryptocurrency Portfolio Strategies Integrating ESG Criteria Across Market Conditions and Time Periods

Comparative Analysis of Cryptocurrency Portfolio Strategies Integrating ESG Criteria Across Market Conditions and Time Periods

Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak

Cryptocurrencies and G7 capital markets integrate in periods of extreme volatility?

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