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Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic

dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.date.accessioned2023-06-21T22:23:00Z
dc.date.available2023-06-21T22:23:00Z
dc.date.issued2021-11-24
dc.identifier.issn1810-4967
dc.identifier.urihttp://hdl.handle.net/10726/5049
dc.language.isoeng
dc.publisherLLC "CPC" Business Perspectives
dc.titleImpact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemiceng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.localAbierto (Texto Completo)
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishIn times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume18
dc.relation.citationissue4
dc.relation.citationstartpage213
dc.relation.citationendpage222
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.identifier.eissn812-9358
dc.relation.ispartofjournalInvestment Management and Financial Innovations
dc.identifier.doihttp://dx.doi.org/10.21511/imfi.18(4).2021.19
dc.subject.proposalBitcoin
dc.subject.proposalSafe haven
dc.subject.proposalCOVID-19
dc.subject.proposalIdiosyncratic risk
dc.subject.proposalSystemic risk
dc.subject.proposalDiversification
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2


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