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Izvorni znanstveni članak
https://doi.org/10.2478/bsrj-2019-020

Achieving Portfolio Diversification through Cryptocurrencies in European Markets

Ana Pavković   ORCID icon orcid.org/0000-0003-0567-7558 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia
Mihovil Anđelinović ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia
Ivan Pavković   ORCID icon orcid.org/0000-0003-1703-3039 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia

Puni tekst: engleski, pdf (2 MB) str. 85-107 preuzimanja: 165* citiraj
APA 6th Edition
Pavković, A., Anđelinović, M. i Pavković, I. (2019). Achieving Portfolio Diversification through Cryptocurrencies in European Markets. Business Systems Research, 10 (2), 85-107. https://doi.org/10.2478/bsrj-2019-020
MLA 8th Edition
Pavković, Ana, et al. "Achieving Portfolio Diversification through Cryptocurrencies in European Markets." Business Systems Research, vol. 10, br. 2, 2019, str. 85-107. https://doi.org/10.2478/bsrj-2019-020. Citirano 15.07.2020.
Chicago 17th Edition
Pavković, Ana, Mihovil Anđelinović i Ivan Pavković. "Achieving Portfolio Diversification through Cryptocurrencies in European Markets." Business Systems Research 10, br. 2 (2019): 85-107. https://doi.org/10.2478/bsrj-2019-020
Harvard
Pavković, A., Anđelinović, M., i Pavković, I. (2019). 'Achieving Portfolio Diversification through Cryptocurrencies in European Markets', Business Systems Research, 10(2), str. 85-107. https://doi.org/10.2478/bsrj-2019-020
Vancouver
Pavković A, Anđelinović M, Pavković I. Achieving Portfolio Diversification through Cryptocurrencies in European Markets. Business Systems Research [Internet]. 2019 [pristupljeno 15.07.2020.];10(2):85-107. https://doi.org/10.2478/bsrj-2019-020
IEEE
A. Pavković, M. Anđelinović i I. Pavković, "Achieving Portfolio Diversification through Cryptocurrencies in European Markets", Business Systems Research, vol.10, br. 2, str. 85-107, 2019. [Online]. https://doi.org/10.2478/bsrj-2019-020

Sažetak
Background: Cryptocurrencies represent a specific technological innovation in financial markets that keeps getting more and more popular among investors around the world. Given the specific characteristics of the cryptocurrencies, this paper examines the possibility of their use as a diversification instrument. Objectives: This paper examines the direction and strength of the relationship between the selected cryptocurrencies and important financial indicators on the European Union market. Since cryptocurrencies are a novelty in the financial system, the empirical literature in this area is rather scarce. Methods/Approach: In order to assess diversification properties of cryptocurrencies for European traders, a comprehensive econometric analysis was carried out. The first part of the analysis refers to the estimation of the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, whereas the second part focuses on wavelet transforms. Results: Bitcoin and Ripple proved as a possible diversification instrument on most of the observed European markets since corresponding coefficients of unconditional correlation are negative. Conclusions: The relationship between the value of the cryptocurrencies and selected indices is generally very weak and slightly negative, indicating that some cryptocurrencies can serve as a means of diversification. However, investors need to take into account the extreme volatility, exhibited in all existing cryptocurrencies.

Ključne riječi
Bitcoin; portfolio diversification; volatility clustering; wavelet; cryptocurrencies

Hrčak ID: 224562

URI
https://hrcak.srce.hr/224562

Posjeta: 278 *