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Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review

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  • José Almeida

    (ISEG—Lisbon School of Economics & Management, Universidade de Lisboa, Advance/CSG, 1200-781 Lisboa, Portugal)

  • Tiago Cruz Gonçalves

    (ISEG—Lisbon School of Economics & Management, Universidade de Lisboa, Advance/CSG, 1200-781 Lisboa, Portugal)

Abstract

Our study collected and synthetized the existing knowledge on portfolio diversification, hedge, and safe-haven properties in cryptocurrency investments. We sampled 146 studies published in journals ranked in the Association of Business Schools 2021 journals list, considering all fields of knowledge, and elaborated a systematic literature review along with a bibliometric analysis. Our results indicate a fast-growing literature evidencing cryptocurrencies’ ability to hedge against stocks, fiat currencies, geopolitical risks, and Economic Policy Uncertainty (EPU) risk; also, that cryptocurrencies present diversification and safe-haven properties; that stablecoins reveal unstable peg with the US dollar; that uncertainty is a determinant for cryptocurrency returns. Additionally, we show that investors should consider Gold, along with the European carbon market, CBOE Bitcoin futures, and crude oil to hedge against unexpected movements in the cryptocurrency market.

Suggested Citation

  • José Almeida & Tiago Cruz Gonçalves, 2022. "Portfolio Diversification, Hedge and Safe-Haven Properties in Cryptocurrency Investments and Financial Economics: A Systematic Literature Review," JRFM, MDPI, vol. 16(1), pages 1-25, December.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2022:i:1:p:3-:d:1009730
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    References listed on IDEAS

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    Cited by:

    1. Chengying He & Yong Li & Tianqi Wang & Salman Ali Shah, 2024. "Is cryptocurrency a hedging tool during economic policy uncertainty? An empirical investigation," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
    2. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.

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