Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data

Alexeev, V

Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data

Alexeev, V

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Journal of International Financial Markets, Institutions and Money, 2025, 99
Issue Date:: 2025-02-05

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Field	Value	Language
dc.contributor.author	Alexeev, V
dc.date.accessioned	2025-02-08T20:55:49Z
dc.date.available	2025-01-23
dc.date.available	2025-02-08T20:55:49Z
dc.date.issued	2025-02-05
dc.identifier.citation	Journal of International Financial Markets, Institutions and Money, 2025, 99
dc.identifier.issn	1042-4431
dc.identifier.issn	1873-0612
dc.identifier.uri	http://hdl.handle.net/10453/185034
dc.description.abstract	We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures.
dc.language	en
dc.publisher	Elsevier
dc.relation.ispartof	Journal of International Financial Markets, Institutions and Money
dc.relation.isbasedon	10.1016/j.intfin.2025.102123
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1402 Applied Economics, 1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.subject.classification	3502 Banking, finance and investment
dc.subject.classification	3801 Applied economics
dc.title	Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data
dc.type	Journal Article
utslib.citation.volume	99
utslib.for	1402 Applied Economics
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	University of Technology Sydney
pubs.organisational-group	University of Technology Sydney/Faculty of Business
pubs.organisational-group	University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	false
dc.rights.license	This work is licensed under a Creative Commons Attribution 4.0 International License (CC BY 4.0). To view a copy of this license, visit https://creativecommons.org/licenses/by/4.0/
dc.date.updated	2025-02-08T20:55:47Z
pubs.publication-status	Published
pubs.volume	99

Abstract:

We investigate the evolving relationships between cryptocurrencies and equity portfolios and find that Bitcoin’s contributions to the active risks of equity portfolios have grown over time, exceeding 10% in defensive strategies. This underscores the increasing importance of investment professionals quantifying and managing crypto-related risk exposures in their portfolios, a task for which we provide guidance. For risk measurement, we use intraday returns to significantly improve the forecast accuracy of equity portfolio sensitivities to cryptocurrency risks. For risk management, we advocate direct hedging for optimal risk reduction and suggest using stock selection constraints as an alternative approach to limit the influence of cryptocurrencies on portfolio risk exposures.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/185034