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

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 cons...

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Autores:
Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
Tipo de recurso:
Article of investigation
Fecha de publicación:
2021
Institución:
Colegio de Estudios Superiores de Administración
Repositorio:
Repositorio CESA
Idioma:
eng
OAI Identifier:
oai:repository.cesa.edu.co:10726/5049
Acceso en línea:
http://hdl.handle.net/10726/5049
http://dx.doi.org/10.21511/imfi.18(4).2021.19
Palabra clave:
Bitcoin
Safe haven
COVID-19
Idiosyncratic risk
Systemic risk
Diversification
Rights
openAccess
License
Abierto (Texto Completo)
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spelling Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Cayón Fallon, Edgardo [0000-0002-4113-5521]Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [56395390800]Sarmiento Sabogal, Julio Alejandro [57196465468]2023-06-21T22:23:00Z2023-06-21T22:23:00Z2021-11-241810-4967http://hdl.handle.net/10726/5049instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/812-9358http://dx.doi.org/10.21511/imfi.18(4).2021.19engLLC "CPC" Business PerspectivesImpact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemicarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2In 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.https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0001-5986-4813https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=57196465468184213222Investment Management and Financial InnovationsBitcoinSafe havenCOVID-19Idiosyncratic riskSystemic riskDiversification10726/5049oai:repository.cesa.edu.co:10726/50492023-10-02 20:08:30.386metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
spellingShingle Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
Bitcoin
Safe haven
COVID-19
Idiosyncratic risk
Systemic risk
Diversification
title_short Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_full Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_fullStr Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_full_unstemmed Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_sort Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
dc.creator.fl_str_mv Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
dc.contributor.author.spa.fl_str_mv Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
dc.contributor.orcid.none.fl_str_mv Cayón Fallon, Edgardo [0000-0002-4113-5521]
Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.scopus.none.fl_str_mv Cayón Fallon, Edgardo [56395390800]
Sarmiento Sabogal, Julio Alejandro [57196465468]
dc.subject.proposal.none.fl_str_mv Bitcoin
Safe haven
COVID-19
Idiosyncratic risk
Systemic risk
Diversification
topic Bitcoin
Safe haven
COVID-19
Idiosyncratic risk
Systemic risk
Diversification
description 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.
publishDate 2021
dc.date.issued.none.fl_str_mv 2021-11-24
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:00Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:00Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 1810-4967
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5049
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 812-9358
dc.identifier.doi.none.fl_str_mv http://dx.doi.org/10.21511/imfi.18(4).2021.19
identifier_str_mv 1810-4967
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
812-9358
url http://hdl.handle.net/10726/5049
http://dx.doi.org/10.21511/imfi.18(4).2021.19
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 18
dc.relation.citationissue.none.fl_str_mv 4
dc.relation.citationstartpage.none.fl_str_mv 213
dc.relation.citationendpage.none.fl_str_mv 222
dc.relation.ispartofjournal.none.fl_str_mv Investment Management and Financial Innovations
dc.rights.accessrights.none.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.local.none.fl_str_mv Abierto (Texto Completo)
dc.rights.coar.none.fl_str_mv http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.publisher.none.fl_str_mv LLC "CPC" Business Perspectives
publisher.none.fl_str_mv LLC "CPC" Business Perspectives
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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