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The British Accounting Review
- Publisher
- Emerald Publishing
- Copyright
- © Emerald Publishing Limited
- ISSN
- 0307-4358
- DOI
- 10.1108/mf-11-2019-0565
- Publisher site
- See Article on Publisher Site
Abstract
In this paper, the authors examine the interconnectedness of four blockchain exchange-traded funds (ETFs) with other financial markets, such as stocks and cryptocurrencies.Design/methodology/approachA multivariate dynamic conditional correlation model is used to model the relationship of blockchain ETFs with equity and cryptocurrency markets. Risk-minimizing hedge ratios are calculated following the methods used in studies by Kroner and Sultan (1993) and Sadorsky (2012).FindingsThe empirical results show a high degree of correlation of blockchain ETF returns with returns of the NASDAQ Composite Index, while the level of comovement with Bitcoin is relatively low.Research limitations/implicationsThe results imply that blockchain ETFs may be suitable for hedging purposes in a portfolio holding Bitcoin. Furthermore, investing in blockchain ETFs appears similar to investing in NASDAQ.Originality/valueTo the best of the authors’ knowledge, no studies have investigated the dynamic relationship of blockchain ETFs and other financial assets.
Journal
Managerial Finance – Emerald Publishing
Published: Apr 22, 2021
Keywords: Blockchain; ETFs; Bitcoin; Hedge; Diversifier; DCC; G11; G15