Portfolio Optimization Between Bahrain Stock Market and Bitcoin

Aggarwal, Vaibhav, Batra, Shallu, Sharma, Sudhi, Dhingra, Barkha, Yadav, Mahender and Kumar, Manoj (2024) Portfolio Optimization Between Bahrain Stock Market and Bitcoin. In: 2024 ASU International Conference in Emerging Technologies for Sustainability and Intelligent Systems (ICETSIS), 28-29 January 2024, Manama, Bahrain.

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Abstract

There is growing academic literature on the benefits of adding new-age digital assets like cryptocurrency to an equity portfolio. This study investigates the volatility spillover between Bahrain All Share (BAX) and Bitcoin to identify the optimum portfolio weights for long-only investors. Bivariate BEKK-GARCH (1,1) is utilized to determine short-run and long-run volatility transmission. The results indicate that equity investors in Bahrain can improve their overall risk-adjusted portfolio returns by adding a tiny proportion of Bitcoin < 1% to the total portfolio. This study adds to the scant literature between cryptocurrencies and Bahrain stock markets. The results can be helpful for investors to increase their risk-adjusted returns by introducing cryptos in their equity-only exposure

Item Type: Conference or Workshop Item (Paper)
Keywords: Bitcoin | Stock markets | Sustainable development | Intelligent systems | Portfolios | Optimization
Subjects: Social Sciences and humanities > Economics, Econometrics and Finance > Banking and Finance
Social Sciences and humanities > Economics, Econometrics and Finance > Economics
Social Sciences and humanities > Social Sciences > Social Sciences (General)
JGU School/Centre: Jindal Global Business School
Depositing User: Subhajit Bhattacharjee
Date Deposited: 20 Mar 2024 11:23
Last Modified: 02 Jul 2024 04:33
Official URL: https://doi.org/10.1109/ICETSIS61505.2024.10459462
URI: https://pure.jgu.edu.in/id/eprint/7498

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