The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic
The aim of this study is to evaluate the efficiency of integrating cryptocurrencies in a diversified equity portfolio. Two main hypotheses were tested. The first one investigates the co-movements between equity indices values and cryptocurrencies values to evaluate the latter’s diversification benef...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/66592/ |
| _version_ | 1848800340958248960 |
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| author | Boodhun, Heshina |
| author_facet | Boodhun, Heshina |
| author_sort | Boodhun, Heshina |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The aim of this study is to evaluate the efficiency of integrating cryptocurrencies in a diversified equity portfolio. Two main hypotheses were tested. The first one investigates the co-movements between equity indices values and cryptocurrencies values to evaluate the latter’s diversification benefits. In view that literatures have concluded that economic downturns increase the correlation among assets, the second hypothesis of this paper evaluates portfolio diversification following the different market phases, by closely considering the COVID-19 pandemic.
A sample of 14 cryptocurrencies and 7 stock market indices were evaluated from 3rd January 2019 to 10th August 2021. The main finding of this study is that out of the 14 cryptocurrencies, only two manifested the features of being diversifiers, while the remaining had a high correlation with their respective indices. Nonetheless, all cryptocurrencies, including the diversifiers, had a high correlation with the stock market indices during the longest bear market period, which occurred during the announcement of COVID-19 as a pandemic. These evidences are important tools for investors, hedgers and fund managers who are seeking to diversify their portfolios using cryptocurrencies. |
| first_indexed | 2025-11-14T20:50:01Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-66592 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:50:01Z |
| publishDate | 2022 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-665922022-02-28T03:05:01Z https://eprints.nottingham.ac.uk/66592/ The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic Boodhun, Heshina The aim of this study is to evaluate the efficiency of integrating cryptocurrencies in a diversified equity portfolio. Two main hypotheses were tested. The first one investigates the co-movements between equity indices values and cryptocurrencies values to evaluate the latter’s diversification benefits. In view that literatures have concluded that economic downturns increase the correlation among assets, the second hypothesis of this paper evaluates portfolio diversification following the different market phases, by closely considering the COVID-19 pandemic. A sample of 14 cryptocurrencies and 7 stock market indices were evaluated from 3rd January 2019 to 10th August 2021. The main finding of this study is that out of the 14 cryptocurrencies, only two manifested the features of being diversifiers, while the remaining had a high correlation with their respective indices. Nonetheless, all cryptocurrencies, including the diversifiers, had a high correlation with the stock market indices during the longest bear market period, which occurred during the announcement of COVID-19 as a pandemic. These evidences are important tools for investors, hedgers and fund managers who are seeking to diversify their portfolios using cryptocurrencies. 2022-02-26 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/66592/1/MSc%20F%26I%20Dissertation_Heshina%20Boodhun_20304709.pdf Boodhun, Heshina (2022) The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic. [Dissertation (University of Nottingham only)] diversification cryptocurrency Covid-19 stock market indices correlation |
| spellingShingle | diversification cryptocurrency Covid-19 stock market indices correlation Boodhun, Heshina The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic |
| title | The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic |
| title_full | The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic |
| title_fullStr | The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic |
| title_full_unstemmed | The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic |
| title_short | The efficiency of cryptocurrency in portfolio diversification: evidence from the Covid-19 pandemic |
| title_sort | efficiency of cryptocurrency in portfolio diversification: evidence from the covid-19 pandemic |
| topic | diversification cryptocurrency Covid-19 stock market indices correlation |
| url | https://eprints.nottingham.ac.uk/66592/ |