期刊名称：Journal of Asian Finance, Economics and Business
印刷版ISSN：2288-4637
电子版ISSN：2288-4645
出版年度：2021
卷号：8
期号：6
页码：567-578
DOI：10.13106/jafeb.2021.vol8.no6.0567
语种：English
出版社：Korean Distribution Science Association
摘要：This paper examines the portfolio diversification benefits in the cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, Stellar and Dash) and ASEAN-5 stock markets (Malaysia, Indonesia, Singapore, Thailand and Philippines). Cointegration and Granger causality tests are used in this study for the period from August 2015 to October 2019. We found evidence of no cointegration among the cryptocurrencies. Thus, the cryptocurrencies market provides an opportunity for the potential benefits from portfolio diversification and hedging strategies. However, cointegration is found between cryptocurrencies and ASEAN-5 stock markets thus indicating limited portfolio diversification benefits in the long-run among these markets. In addition, the results also show that ASEAN-5 stock markets are going towards a greater integration among them which is in congruence with the previous studies. However, in the short-run, Granger causality tests show that Dash, Ethereum, Lite, Ripple and Stellar have no causality relationship with all ASEAN-5 stock markets and no causality is also found between Bitcoin and three of ASEAN-5 stock markets (Malaysia, Singapore and Philippines). Therefore, there still exists an opportunity for portfolio diversification between cryptocurrencies and ASEAN-5 stock markets in the short-run. The findings of this study suggest that crypto-investors, international investors and fund managers can diversify their investments in both cryptocurrencies and the ASEAN-5 stock markets.
