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Applied Economics Letters Volume 28, 2021 - Issue 12
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Research Article

Cryptocurrencies in portfolios: return–liquidity trade-off around China forbidding initial coin offerings

Sijia ZhangBrighton Business School, University of Brighton, Brighton, UK
&
Andros GregoriouBrighton Business School, University of Brighton, Brighton, UKCorrespondence[email protected]
Pages 1036-1040 | Published online: 21 Jul 2020

References

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  • Baek, C., and M. Elbeck. 2015. “Bitcoins as an Investment or Speculative Vehicle? A First Look.” Applied Economics Letters. 22(1):30–34. doi:10.1080/13504851.2014.916379
  • Bouri, E., P. Molnár, G. Azzi, D. Roubaud, and L. I. Hagfors. 2017. “On the Hedge and Safe Haven Properties of Bitcoin: Is It Really More than a Diversifier?” Finance Research Letters. 20:192–198. doi:10.1016/j.frl.2016.09.025
  • Briere, M., K. Oosterlinck, and A. Szafarz. 2015. “Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin.” Journal of Asset Management. 16(6):365–373. doi:10.1057/jam.2015.5
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  • Gregoriou, A. 2019. “Cryptocurrencies and Asset Pricing.” Applied Economics Letters. 26(12):995–998. doi:10.1080/13504851.2018.1527439
  • Guesmi, K., S. Samir, A. Ilyes, and F. Zied. 2019. “Portfolio Diversification with Virtual Currency: Evidence from Bitcoin.” International Review of Financial Analysis. 63(C):431–437. doi:10.1016/j.irfa.2018.03.004
  • Lo, A. W., and C. Petrov. 2003. “It’s 11pm-Do You Know Where Your Liquidity Is? The Mean-variance-liquidity Frontier.” Journal of Investment Management. 1:55–93.
  • Platanakis, E., C. Sutcliffe, and A. Urquhart. 2018. “Optimal vs Naïve Diversification in Cryptocurrencies.” Economics Letters. 171:93–96. doi:10.1016/j.econlet.2018.07.020
  • Platanakis, E., and A. Urquhart. 2019a. “Portfolio Management with Cryptocurrencies: The Role of Estimation Risk.” Economics Letters. 177:76–80. doi:10.1016/j.econlet.2019.01.019
  • Platanakis, E., and A. Urquhart. 2019b. “Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach.” The British Accounting Review. 100837.
  • Zhang, S., and A. Gregoriou. 2020. “The Price and Liquidity Impact of China Forbidding Initial Coin Offerings on the Cryptocurrency Market.” Applied Economics Letters. 1–4.

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