ABSTRACT
We examine diversification when cryptocurrencies are included in investment portfolios, around China prohibiting initial coin offerings on 4 September 2017. We discover, once we account for liquidity, that all portfolio diversification benefits of cryptocurrencies are eliminated.
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 We also tried alternative event window, and the results remain intact.
2 For robustness, we repeat the econometric analysis for the largest 50 cryptocurrencies. The results (not reported) are quantitatively similar and are available from the authors upon request.