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The effect of diversification of virtual currencies in reducing the risk of investors' financial portfolio
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Vahid Mahbbobi matin1   , Yazdan Gudarzi farahani2 , Seyed Abbas Borhani3 , Hossein Moghadam3 |
1- phd student, Islamic azad university , moj.akbari02@gmail.com
2- Assistant Professor, Qom University
3- Assistant Professor, Islamic azad university & دانشگاه آزاد اسلامی |
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Abstract: (19 Views) |
Cryptocurrencies such as Bitcoin, Ethereum, and Tether are known as coins, and by using encryption protocols or very complex coding systems, they encrypt the transfer of sensitive information and secure their exchange unit. The transactions of these currencies are recorded in the blockchain system and their integrity can be verified. One of the most important topics and issues raised in the financial markets is the awareness of the systemic risk of the market because it plays a significant role in the decision making of investors. The purpose of this study was to estimate the effect of diversification of virtual currencies on reducing risk in the period of 2017-2024. In this regard, the CVaR method was used to estimate the risk. Also, in order to estimate the research model, smooth transition regression (STR) was used. The statistical population of the present study of the cryptocurrency market and the statistical sample included Bitcoin, Ethereum, Tether, Litecoin, and Binance Coin. The results showed that the risk in Bitcoin was much higher than other cryptocurrencies. In addition, it was observed that the effect of cryptocurrency portfolio diversification index on risk is negative and non-linear, and with an increase in the diversification of the cryptocurrency asset portfolio, it has led to a decrease in the risk of all studied cryptocurrencies.
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Article number: 11 |
| Keywords: Investment portfolio risk, Financial crisis, Bitcoin, Conditional value at risk, Smooth Transition Regression. |
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Full-Text [PDF 903 kb]
(7 Downloads)
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Article type: Research |
Subject:
Special
Received: 2024/12/14 | Accepted: 2025/04/8 | Published: 2025/10/2
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