Cryptocurrencies in Portfolios: Return-liquidity trade-off around China forbidding initial coin offerings

Sijia Zhang; Andros Gregoriou

doi:10.1080/13504851.2020.1796908

Cryptocurrencies in Portfolios: Return-liquidity trade-off around China forbidding initial coin offerings

Sijia Zhang, Andros Gregoriou

Law, Society and Justice Research and Enterprise Group

Research output: Contribution to journal › Article › peer-review

Abstract

We examine diversification when cryptocurrencies are included in investment portfolios, around China prohibiting initial coin offerings on 4 September 2017. We discover, once we account for liquidity, that all portfolio diversification benefits of cryptocurrencies are eliminated.

Original language	English
Pages (from-to)	1-5
Number of pages	5
Journal	Applied Economics Letters
DOIs	https://doi.org/10.1080/13504851.2020.1796908
Publication status	Published - 21 Jul 2020

Keywords

Amihud ratio
Cryptocurrency
bid-ask spread
liquidity
portfolio returns

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10.1080/13504851.2020.1796908

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title = "Cryptocurrencies in Portfolios: Return-liquidity trade-off around China forbidding initial coin offerings",

abstract = "We examine diversification when cryptocurrencies are included in investment portfolios, around China prohibiting initial coin offerings on 4 September 2017. We discover, once we account for liquidity, that all portfolio diversification benefits of cryptocurrencies are eliminated.",

keywords = "Amihud ratio, Cryptocurrency, bid-ask spread, liquidity, portfolio returns",

author = "Sijia Zhang and Andros Gregoriou",

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KW - bid-ask spread

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Cryptocurrencies in Portfolios: Return-liquidity trade-off around China forbidding initial coin offerings

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Andros Gregoriou

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Cryptocurrencies in Portfolios: Return-liquidity trade-off around China forbidding initial coin offerings

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Andros Gregoriou

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