Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed cons...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2021 |
| País: | Colombia |
| Institución: | Colegio de Estudios Superiores de Administración |
| Repositorio: | Repositorio CESA |
| Idioma: | inglés |
| OAI Identifier: | oai:repository.cesa.edu.co:10726/5049 |
| Acceso en línea: | http://hdl.handle.net/10726/5049 http://dx.doi.org/10.21511/imfi.18(4).2021.19 |
| Access Level: | acceso abierto |
| Palabra clave: | Bitcoin Safe haven COVID-19 Idiosyncratic risk Systemic risk Diversification |
| Sumario: | In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks. |
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