Cryptocurrencies
Hedging Opportunities From Domestic Perspectives in Southeast Asia Emerging Markets
Bibliographic Data
| ID | 4181887 |
|---|---|
| Authors | Djoko Susilo (0000-0003-1522-2389, Diponegoro University), Sugeng Wahyudi (0000-0002-4566-9862, Diponegoro University), Irene Rini Demi Pangestuti (0000-0003-3008-0972, Diponegoro University), Bayu Adi Nugroho (0000-0001-6113-9362, Perbanas Institute), Robiyanto (0000-0003-3565-1594, Satya Wacana Christian University, corresponding author) |
| Year | 2020 |
| Volume | 10 |
| Issue | 4 |
| Publication date | 2020-10-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | SAGE Open (JOURNAL) |
| Journal identifiers | ISSN: 2158-2440 • E-ISSN: 2158-2440 |
| Publisher | SAGE Publications Inc (PUBLISHER) |
| DOI | 10.1177/2158244020971609 |
| OpenAlex | W3106707573 |
| Language | EN |
| Citations received | 2 |
| References cited | 28 |
Previous studies have shown that cryptocurrencies could hedge equities. However, most of those studies did not take into account the recent cryptocurrencies bubbles in 2018 and domestic currencies. Therefore, this research aimed to study whether the hedge effectiveness of cryptocurrencies still exists. This research used five cryptocurrencies (bitcoin, ethereum, monero, ripple, and litecoin), equity indices (Indonesia, Malaysia, Vietnam, Thailand, and the Philippines), and iShares ETF MSCI World (developed world). Commodities-based hedging using iShares S&P GSCI Commodity-Indexed Trust was also analyzed as a comparison. The asymmetric generalized dynamic conditional correlation (AG-DCC) GARCH showed that one cryptocurrency could not significantly and consistently hedge equities while five equally weighted cryptocurrencies could marginally hedge equities. Meanwhile, the classical minimum variance model also showed that the hedge effectiveness of cryptocurrencies was insignificantly positive. Equity traders could add cryptocurrencies into portfolios when the purpose was to maximize the Sharpe ratio instead of hedging. Overall, commodities were the better hedge for Southeast Asia emerging markets
Autoregressive conditional heteroskedasticity · Business · Conditional variance · Cryptocurrency · Econometrics · Economics · Emerging markets · Financial economics · Hedge · Hedge fund · Portfolio · Sharpe ratio · Blockchain Technology Applications and Security · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Finance
| Unique citing works | 2 |
|---|---|
| Citations per year | 0,5 |
| Citation span | 2022 - 2024 (3) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 2 |