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The European Journal of Finance Volume 29, 2023 - Issue 7: New Challenges of Global Banking and Finance
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Research Article

The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19

Xinyu Huanga School of Management, University of Bath, Bath, UKView further author information
,
Weihao Hana School of Management, University of Bath, Bath, UKView further author information
,
David Newtona School of Management, University of Bath, Bath, UKCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-0470-8113View further author information
ORCID Icon,
Emmanouil Platanakisa School of Management, University of Bath, Bath, UKView further author information
,
Dimitrios Stafylasb York Management School, University of York, York, UKView further author information
&
Charles Sutcliffec The ICMA Centre, Henley Business School, University of Reading, Reading, UKView further author information
Pages 800-825 | Received 28 Jul 2021, Accepted 08 Jan 2022, Published online: 05 Mar 2022

Figures & data

Table 1. Summary statistics.

Table 2. Bayes-Stein Shrinkage, for λ = 1 – whole sample period.

Table 3. Bayes-Stein Shrinkage, for λ = 3 – whole sample period.

Table 4. Bayes-Stein Shrinkage, for λ = 5 – whole sample period.

Table 5. Bayes-Stein Shrinkage, for λ = 1 – pre-Covid period.

Table 6. Bayes-Stein Shrinkage, for λ = 1 – post-Covid period.

Table 7. Bayes-Stein Shrinkage, for λ = 3 – pre-Covid.

Table 8. Bayes-Stein Shrinkage, for λ = 3 – post-Covid.

Table 9. Bayes-Stein Shrinkage, for λ = 5 – pre-Covid.

Table 10. Bayes-Stein Shrinkage, for λ = 5 – post-Covid.

Table 11. For λ = 1, 3, 5 – whole period, pre-Covid period, and post-Covid period using the multi-assets benchmark.

Table 12. For λ = 1, 3, 5 – whole period, pre-Covid period, and post-Covid period using the five-industry benchmark.

Table 13. For λ = 1, 3, 5 – whole period, pre-Covid period, and post-Covid period using higher moments and the benchmark (equity and bonds).

Table 14. For λ = 1, 3, 5 – whole period, pre-Covid period, and post-Covid period using transaction costs and the benchmark (equity and bonds).

Table 15. For λ = 1, 3, 5 – whole period, pre-Covid period, and post-Covid period using Black Litterman and benchmark (equity and bonds).

Supplemental material

REJF_2033806_Supplemantary material

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