Abstract:
There is growing academic literature on the benefits of adding new-age digital assets like cryptocurrency to an equity portfolio. This study investigates the volatility s...View moreMetadata
Abstract:
There is growing academic literature on the benefits of adding new-age digital assets like cryptocurrency to an equity portfolio. This study investigates the volatility spillover between Bahrain All Share (BAX) and Bitcoin to identify the optimum portfolio weights for long-only investors. Bivariate BEKK-GARCH (1,1) is utilized to determine short-run and long-run volatility transmission. The results indicate that equity investors in Bahrain can improve their overall risk-adjusted portfolio returns by adding a tiny proportion of Bitcoin < 1% to the total portfolio. This study adds to the scant literature between cryptocurrencies and Bahrain stock markets. The results can be helpful for investors to increase their risk-adjusted returns by introducing cryptos in their equity-only exposure.
Published in: 2024 ASU International Conference in Emerging Technologies for Sustainability and Intelligent Systems (ICETSIS)
Date of Conference: 28-29 January 2024
Date Added to IEEE Xplore: 19 March 2024
ISBN Information: