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...

Full description

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)