The results indicate that equity investors in Bahrain can improve their overall risk-adjusted portfolio returns by adding a tiny proportion of Bitcoin < 1% to the total portfolio.
Authors
Vaibhav Aggarwal, Associate Professor, Jindal Global Business School, O.P. Jindal Global University, Sonipat, Haryana, India.
Shallu Batra, Department of Commerce, Maharshi Dayanand University, Haryana, India.
Sudhi Sharma, Fortune Institute of International Business, Delhi, India.
Barkha Dhingra, Department of Commerce, Maharshi Dayanand University, Haryana, India.
Mahender Yadav, Department of Commerce, Maharshi Dayanand University, Haryana, India.
Manoj Kumar, Department of Commerce, Maharshi Dayanand University, Haryana, India.
Summary
There is growing academic literature on the benefits of adding new-age digital assets like cryptocurrency to an equity portfolio. This study investigates the volatility spillover between Bahrain All Share (BAX) and Bitcoin to identify the optimum portfolio weights for long-only investors. Bivariate BEKK-GARCH (1,1) is utilized to determine short-run and long-run volatility transmission.
The results indicate that equity investors in Bahrain can improve their overall risk-adjusted portfolio returns by adding a tiny proportion of Bitcoin < 1% to the total portfolio. This study adds to the scant literature between cryptocurrencies and Bahrain stock markets. The results can be helpful for investors to increase their risk-adjusted returns by introducing cryptos in their equity-only exposure.
Published in: 2024 ASU International Conference in Emerging Technologies for Sustainability and Intelligent Systems (ICETSIS)
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