TY  - JOUR
T1  - An Investigation of Diversification Benefits and Hedging Capabilities of Cryptocurrencies in
Portfolio Management during COVID-19
AU - Hameed, Shahroz AU - Nawazish, Sarah AU - Khalid, Umair 
JO  - International Business Management
VL  - 15
IS  - 10
SP  - 420
EP  - 433
PY  - 2021
DA  - 2001/08/19
SN  - 1993-5250
DO  - ibm.2021.420.433
UR  - https://makhillpublications.co/view-article.php?doi=ibm.2021.420.433
KW  - Ethereum
KW  -diversification benefits
KW  -Hedging capabilities
KW  -Ripple
KW  -Litecoin
KW  -DCC-GARCH
AB  - The study aims to explore the hedging
capabilities and diversification benefits of three
cryptocurrencies, Ethereum, Ripple and Litecoin in a
portfolio, constructed with traditional asset classes. The
portfolio comprises traditional assets gold, Brent oil,
USRE, S&P 500 and Pvt. Equity. The daily data has been
taken from 31st Aug 2015 to 31st Aug 2021. The daily
data has been obtained from Coin desk Market and St,
Louis FRED database. Dynamic conditional correlation
GARCH (DCC-GARCH) model has been applied to find
the hedging capabilities and diversification benefits of
cryptocurrencies in the portfolio pre-COVID-19 and
during COVID-19. The empirical results reveal that
Ethereum, Litecoin and Ripple provide diversification
benefits. Moreover, hedging capabilities and
diversification benefits of three cryptocurrencies,
Ethereum, Ripple and Litecoin have been forecasted by
employing the Vector Autoregression (VAR) model and
found that the price of Ripple has been an increasing
trend.
ER  -