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Cryptocurrencies against stock market risk: New insights into hedging effectiveness

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  • Just, Małgorzata
  • Echaust, Krzysztof

Abstract

This study examines the role of cryptocurrencies as a hedging and safe-haven instrument against stock market risk. Employing five of the largest cryptocurrencies by market capitalization: BTC, ETH, BNB, ADA, and XRP, from 2017 to 2022 in a variance-optimal hedging framework we investigate and compare the hedging effectiveness of cryptocurrencies for the developed G7 and emerging BRICS stock markets. Based on EVT we introduced a new approach to the assessment of hedging effectiveness. We found that the probability of at least 10-percent hedging effectiveness of Bitcoin is approximately equal to zero. The conditional probability that Bitcoin can reduce at least 10% of volatility given that index returns fall below the 1st percentile is higher and ranges from 2% to 28.4% depending on the stock market. The probabilities estimated for other cryptocurrencies are lower. We provide new and valuable knowledge for investors, who consider cryptocurrencies as a shelter for their investment portfolios.

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  • Just, Małgorzata & Echaust, Krzysztof, 2024. "Cryptocurrencies against stock market risk: New insights into hedging effectiveness," Research in International Business and Finance, Elsevier, vol. 67(PA).
    • Handle: RePEc:eee:riibaf:v:67:y:2024:i:pa:s027553192300260x
    DOI: 10.1016/j.ribaf.2023.102134
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    Keywords

    Cryptocurrencies; Bitcoin; Safe haven; Hedging effectiveness; Stock markets;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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