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 |
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Pages (from-to) | 1-5 |
Number of pages | 5 |
Journal | Applied Economics Letters |
DOIs | |
Publication status | Published - 21 Jul 2020 |
Keywords
- Amihud ratio
- Cryptocurrency
- bid-ask spread
- liquidity
- portfolio returns
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Profiles
-
Andros Gregoriou
- Brighton Business School - Professor in Finance
- Centre for Change, Entrepreneurship and Innovation Management
Person: Academic