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 | |
| Publication status | Published - 21 Jul 2020 |
Keywords
- Amihud ratio
- Cryptocurrency
- bid-ask spread
- liquidity
- portfolio returns
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