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Cryptocurrencies in portfolios: return–liquidity trade-off around China forbidding initial coin offerings

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  • Sijia Zhang
  • Andros Gregoriou

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.

Suggested Citation

  • Sijia Zhang & Andros Gregoriou, 2021. "Cryptocurrencies in portfolios: return–liquidity trade-off around China forbidding initial coin offerings," Applied Economics Letters, Taylor & Francis Journals, vol. 28(12), pages 1036-1040, July.
    • Handle: RePEc:taf:apeclt:v:28:y:2021:i:12:p:1036-1040
    DOI: 10.1080/13504851.2020.1796908
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