Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic

Autor: Edgardo Cayón Fallon, Julio Sarmiento
Jazyk: angličtina
Rok vydání: 2021
Předmět:
Zdroj: Investment Management & Financial Innovations, Vol 18, Iss 4, Pp 213-222 (2021)
Druh dokumentu: article
ISSN: 1810-4967
1812-9358
DOI: 10.21511/imfi.18(4).2021.19
Popis: In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.
Databáze: Directory of Open Access Journals
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