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Does bitcoin still enhance an investment portfolio in a post Covid-19 world?

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  • Gorman, Michael
  • Hughen, W. Keener

Abstract

We investigate the ability of bitcoin to enhance investment portfolios of traditional assets. We find evidence of a structural break in the correlation and volatility processes around the onset of the Covid-19 pandemic. The correlations between bitcoin and traditional assets have increased, thereby reducing bitcoin’s diversification benefits. As a result prior studies using data from pre-2020 may have inadvertently overestimated the value of bitcoin in improving Sharpe ratios and certainty equivalent returns in the post-pandemic era.

Suggested Citation

  • Gorman, Michael & Hughen, W. Keener, 2024. "Does bitcoin still enhance an investment portfolio in a post Covid-19 world?," Finance Research Letters, Elsevier, vol. 62(PB).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002009
    DOI: 10.1016/j.frl.2024.105170
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