Dynamic interactions between the bitcoin price index and widely traded financial assets: evidence from the recent covid-19 crisis (notice n° 100105)
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| fixed length control field | 02224cam a2200277 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112004429.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Kammoun Masmoudi, Wafa |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Dynamic interactions between the bitcoin price index and widely traded financial assets: evidence from the recent covid-19 crisis |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2022.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 31 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | We investigate the connectedness between the Bitcoin Price Index (BPI) and widely traded financial assets from a variety of markets (equities, bonds, commodities and fiat currency). Using daily data from 5 August 2013 to 31 August 2021 (before and during the COVID-19 crisis), we run the VAR model estimation to investigate any connectedness between the BPI and financial assets, followed by the Granger causality test. We then test Diebold and Yilmaz’s (2012) framework to analyse the spillover effects among our set of variables. Our empirical results provide strong evidence that the BPI index exhibits significant independence from widely traded financial assets. This independence is less pronounced during the COVID-19 crisis, but remains relatively important. To test whether Bitcoin constitutes a relevant diversification vehicle, we compute the Sharpe portfolio performance index of two portfolios of conventional assets with and without the BPI, before and during the COVID-19 crisis. Our results show that the introduction of the BPI index as a diversification asset does not improve portfolio performance. Overall, our empirical findings are robust to different robustness tests and provide several implications for hedgers, portfolio managers and policymakers. JEL Classification: C32, C5, G1. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Time varying |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Portfolio diversification |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Bitcoin Price Index |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | COVID-crisis |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Spillover |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Portfolio performance |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Dynamic dependence |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Financial market assets |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Hamza, Taher |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Louichi, Wael |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Bankers, Markets & Investors | 170 | 3 | 2022-09-08 | p. 59-71 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-bankers-markets-et-investors-2022-3-page-59?lang=en">https://shs.cairn.info/revue-bankers-markets-et-investors-2022-3-page-59?lang=en</a> |
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