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Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
dc.contributor.author | Cayón Fallon, Edgardo | spa |
dc.contributor.author | Sarmiento Sabogal, Julio Alejandro | spa |
dc.date.accessioned | 2023-06-21T22:23:00Z | |
dc.date.available | 2023-06-21T22:23:00Z | |
dc.date.issued | 2021-11-24 | |
dc.identifier.issn | 1810-4967 | |
dc.identifier.uri | http://hdl.handle.net/10726/5049 | |
dc.language.iso | eng | |
dc.publisher | LLC "CPC" Business Perspectives | |
dc.title | Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic | eng |
dc.type | article | |
dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
dc.rights.local | Abierto (Texto Completo) | |
dc.type.version | info:eu-repo/semantics/acceptedVersion | |
dc.identifier.instname | instname:Colegio de Estudios Superiores de Administración – CESA | |
dc.identifier.reponame | reponame:Biblioteca Digital – CESA | |
dc.identifier.repourl | repourl:https://repository.cesa.edu.co/ | |
dc.description.abstractenglish | In 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.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
dc.relation.citationvolume | 18 | |
dc.relation.citationissue | 4 | |
dc.relation.citationstartpage | 213 | |
dc.relation.citationendpage | 222 | |
dc.contributor.orcid | Cayón Fallon, Edgardo [0000-0002-4113-5521] | |
dc.contributor.orcid | Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813] | |
dc.type.driver | info:eu-repo/semantics/article | |
dc.type.redcol | http://purl.org/redcol/resource_type/ART | |
dc.type.coarversion | http://purl.org/coar/version/c_71e4c1898caa6e32 | |
dc.contributor.scopus | Cayón Fallon, Edgardo [56395390800] | |
dc.contributor.scopus | Sarmiento Sabogal, Julio Alejandro [57196465468] | |
dc.description.orcid | https://orcid.org/0000-0002-4113-5521 | |
dc.description.orcid | https://orcid.org/0000-0001-5986-4813 | |
dc.description.scopus | https://www.scopus.com/authid/detail.uri?authorId=56395390800 | |
dc.description.scopus | https://www.scopus.com/authid/detail.uri?authorId=57196465468 | |
dc.identifier.eissn | 812-9358 | |
dc.relation.ispartofjournal | Investment Management and Financial Innovations | |
dc.identifier.doi | http://dx.doi.org/10.21511/imfi.18(4).2021.19 | |
dc.subject.proposal | Bitcoin | |
dc.subject.proposal | Safe haven | |
dc.subject.proposal | COVID-19 | |
dc.subject.proposal | Idiosyncratic risk | |
dc.subject.proposal | Systemic risk | |
dc.subject.proposal | Diversification | |
dc.rights.coar | http://purl.org/coar/access_right/c_abf2 |
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