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Article Dans Une Revue Finance Research Letters Année : 2021

From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks

Résumé

This study attempts to analyze the ability of the top 10 cryptocurrencies in enhancing portfolio returns of the 10 worst-performing stocks in the S&P600, S&P400 and S&P100 indexes, to match those of the 10 best-performing stocks therein. Applying probabilistic utility approach with different algorithms and time horizons, we find that addition of cryptocurrencies to traditional stock portfolios adds value in terms of enhancing returns. This is consistent with the growing literature on the hedging properties of cryptocurrencies against traditional financial assets.
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Dates et versions

hal-04273124 , version 1 (07-11-2023)

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Roman Matkovskyy, Akanksha Jalan, Michael Dowling, Taoufik Bouraoui. From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. Finance Research Letters, 2021, 38, pp.101405. ⟨10.1016/j.frl.2019.101405⟩. ⟨hal-04273124⟩
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