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Hedging effectiveness of cryptocurrencies in the European stock market

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  • Gambarelli, Luca
  • Marchi, Gianluca
  • Muzzioli, Silvia

Abstract

The aim of the paper is twofold: first, to examine the hedging effectiveness of cryptocurrencies and cryptocurrency portfolios for European equities in bearish and bullish market conditions, and second, to contrast cryptocurrencies with gold as a safe haven asset. To this end, daily data from 2018 to 2022 were employed in a linear and nonlinear Autoregressive Distributed Lag (ARDL) framework. The findings have significant implications for investors, financial intermediaries and regulators.

Suggested Citation

  • Gambarelli, Luca & Marchi, Gianluca & Muzzioli, Silvia, 2023. "Hedging effectiveness of cryptocurrencies in the European stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000252
    DOI: 10.1016/j.intfin.2023.101757
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