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International Journal of Trade & Commerce-IIARTC
Impact Factor (IF):5.135 (COSMOS), IF:7.249 (ISRA), IF:3.721 (ISI)
ISSN:2277-5811 (P), ISSN:2278-9065 (O)
Frequency: Half Yearly
Role of Bitcoin in Global Portfolio - An Empirical Study
Author: A Kotishwar
Abstract:
In the modern economy role of electronic currency is playing a vital role for exchanging of goods and services between the countries in present days. There are many crypto currencies which are traded by the investors among them bitcoin has merged global leader. This study has been emphasized from the period of 2011-2015. Johanson co-integrated analysis has been applied on ADF values (Augmented Dicky Fuller) and formed the co-integration with select global assets along with dollar index. The granger casualty test results unveil that gold is the only asset class which is getting influenced by the dollar index. Modigliani risk adjusted method shows that performance of bitcoin is superior than the other asset classes. Vector auto regression analysis indicates that MSCI, gold and bitcoin future momentum is expected to go downside when sentiment index moves upside. This study is useful to the investors fraternity like global exporters and importers, investors of currency and retail investors of bitcoin
Keywords:Bitcoin, ADF values, MSCI, Global Reality Index, Sentiment Index
DOI:
International Journal of Trade & Commerce (Vol: 5 Issue:1)
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