Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
Autor: | Edgardo Cayón Fallon, Julio Sarmiento |
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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 |
Externí odkaz: |
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