论文标题
重新评估加密货币对投资组合多元化的贡献 - 专注于德国投资者的投资组合分析
Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors
论文作者
论文摘要
在本文中，我们调查将加密货币与德国投资者投资组合混合在一起是否可以改善投资组合的多元化。我们通过使用（i）描述性统计数据的比较，（ii）图形方法和（iii）计量经济性跨度测试的工具箱应用（平均方差）投资组合分析来分析此研究问题。与大多数以前的研究相反，我们使用（广泛的）定制，同样加权的加密货币指数（EWCI）来捕获整个EXTE定义的加密货币宇宙的平均发展，并减轻数据中可能的生存偏见。根据Glas/Poddig（2018）的研究，这种偏见可能导致一些已经存在的研究产生误导性结果。我们发现，加密货币可以改善数据集中的一些分析窗口中的投资组合多元化（包括2014-01-01到2019-05-31的每周观察结果）。但是，我们无法确认这种模式为正常情况。通过将加密货币包括在其投资组合中，投资者主要无法达到高效的边界。如果考虑加密货币回报的非正态性，这些结果也会成立。此外，如果还考虑了加密货币市场上的交易成本/流动性，我们控制结果的变化。
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting of (i) the comparison of descriptive statistics, (ii) graphical methods and (iii) econometric spanning tests. In contrast to most of the former studies we use a (broad) customized, Equally-Weighted Cryptocurrency Index (EWCI) to capture the average development of a whole ex ante defined cryptocurrency universe and to mitigate possible survivorship biases in the data. According to Glas/Poddig (2018), this bias could have led to misleading results in some already existing studies. We find that cryptocurrencies can improve portfolio diversification in a few of the analyzed windows from our dataset (consisting of weekly observations from 2014-01-01 to 2019-05-31). However, we cannot confirm this pattern as the normal case. By including cryptocurrencies in their portfolios, investors predominantly cannot reach a significantly higher efficient frontier. These results also hold, if the non-normality of cryptocurrency returns is considered. Moreover, we control for changes of the results, if transaction costs/illiquidities on the cryptocurrency market are additionally considered.
