Dynamic Interconnectedness and Portfolio Implications of Bitcoin, Gold, Currencies, and TASI: A TVP-VAR Approach
Year: 2025
Type: article
Abstract: Our study examines the safe-haven characteristics of Bitcoin, gold, TASI, JPY/USD, and CHF/USD during periods of market turbulence: the COVID-19 pandemic and the Russian invasion of Ukraine. The objective is to create robust portfolios by exploring the dynamic interrelationships among these assets, offering a comprehensive understanding of how they interact over time. Utilizing a time-varying parameter vector autoregression (TVP-VAR) model, we use four portfolio techniques−containing minimum variance, minimum correlation, minimum connectedness portfolios and Risk parity Portfolio−to estimate the Sharpe ratios and cumulative return of the portfolios. The analysis reveals a complex interplay of risk and hedging potential across different portfolio strategies. Bitcoin demonstrates high hedge effectiveness in certain contexts, particularly within the Minimum Variance Portfolio (MVP) and Risk Parity Portfolio (RPP), due to its low correlation with traditional assets. These findings provide critical information for international investors seeking to safeguard their savings during periods of economic uncertainty and unexpected global events.
Source: Zhongguo Kuangye Daxue Xuebao
Author: Belkhir, Nadia
Institution: Imam Mohammad ibn Saud Islamic University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: diamond
Award: G878085975
OpenAlex ID: W7220175241