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

Sijia Zhang, Andros Gregoriou

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 languageEnglish
Pages (from-to)1-5
Number of pages5
JournalApplied Economics Letters
DOIs
Publication statusPublished - 21 Jul 2020

Keywords

  • Amihud ratio
  • Cryptocurrency
  • bid-ask spread
  • liquidity
  • portfolio returns

Access to Document

    Embargoed Document

  • Cyrpto and Portfolios PURE

    Accepted author manuscript, 164 KB

    Embargo ends: 21/01/22

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