ASEAN-5 and Crypto Hedge Fun Dynamic Portfolio Approach

被引：0

作者：

Widarto, Andreas Renard ^{[1
]}

Muharam, Harjum ^{[1
]}

Wahyudi, Sugeng ^{[1
]}

Pangestuti, Irene Rini Demi ^{[1
]}

机构：

[1] Univ Diponegoro, Semarang, Indonesia

来源：

SAGE OPEN | 2022年 / 12卷 / 02期

关键词：

ASEAN-5; crypto hedge fund; dynamic portfolio; cryptocurrency; SAFE HAVEN PROPERTIES; CONDITIONAL CORRELATION; CRISIS; MARKET; STOCKS;

D O I：

10.1177/21582440221094612

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets. This study employs dynamic portfolio approach using data from the period of July 2013 to August 2021. This analysis finds that crypto hedge fund can provide hedging effect against ASEAN-5 stock portfolio resulting in hedging effectiveness with positive value. Crypto hedge fund is also proven to be able to increase the risk adjusted performance of all ASEAN-5 portfolio observed under this study, shown by an increase in Sharpe ratio and Sortino ratio.

引用

页数：9

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