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Cryptocurrencies against stock market risk: New insights into hedging effectiveness

cris.lastimport.scopus2025-10-23T06:58:51Z
cris.virtual.author-orcid0000-0001-7655-6046
cris.virtual.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.author-orcida7f0f1aa-ae71-4fd2-9b4b-6277b57acdc3
cris.virtualsource.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
dc.abstract.enThis 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.
dc.affiliationWydział Ekonomiczny
dc.affiliation.instituteKatedra Finansów i Rachunkowości
dc.contributor.authorJust, Małgorzata
dc.contributor.authorEchaust, Krzysztof
dc.date.access2025-08-08
dc.date.accessioned2025-08-08T10:29:58Z
dc.date.available2025-08-08T10:29:58Z
dc.date.copyright2023-10-12
dc.date.issued2024
dc.description.accesstimeat_publication
dc.description.bibliographyil., bibliogr.
dc.description.financepublication_nocost
dc.description.financecost0,00
dc.description.if6,9
dc.description.numberPart A, January 2024
dc.description.points100
dc.description.versionfinal_published
dc.description.volume67
dc.identifier.doi10.1016/j.ribaf.2023.102134
dc.identifier.eissn1878-3384
dc.identifier.issn0275-5319
dc.identifier.urihttps://sciencerep.up.poznan.pl/handle/item/4115
dc.identifier.weblinkhttp://www.sciencedirect.com/science/article/pii/S027553192300260X
dc.languageen
dc.relation.ispartofResearch in International Business and Finance
dc.relation.pagesart. 102134
dc.rightsCC-BY
dc.sciencecloudsend
dc.share.typeOTHER
dc.subject.encryptocurrencies
dc.subject.enbitcoin
dc.subject.ensafe haven
dc.subject.enhedging effectiveness
dc.subject.enstock markets
dc.titleCryptocurrencies against stock market risk: New insights into hedging effectiveness
dc.typeJournalArticle
dspace.entity.typePublication
oaire.citation.volume67