IDEAS home Printed from https://ideas.repec.org/a/spr/eurase/v15y2025i3d10.1007_s40822-025-00320-3.html
   My bibliography  Save this article

Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies

Author

Listed:
  • Afzol Husain

    (Swinburne University of Technology Sarawak Campus
    INCEIF University)

  • Kwang-Jing Yii

    (Swinburne University of Technology Sarawak Campus)

  • Chorng Yuan Fung

    (Swinburne University of Technology Sarawak Campus)

  • Richard Busulwa

    (Swinburne University of Technology Hawthorn Campus)

Abstract

This study examines the impact of integrating cryptocurrencies with traditional assets on portfolio risk, using Value-at-Risk (VaR) and DCC MGARCH models between January 2018 and December 2023. Our findings reveal that cryptocurrencies exhibit varying effects on risk management, with conventional cryptocurrencies generally outperforming asset-backed ones in reducing portfolio risks. Bitcoin consistently serves as a risk mitigator in both developed and emerging markets, while Ethereum offers selective risk reduction. Binance Coin shows diversification potential, but many other conventional cryptocurrencies increase risk levels. Among asset-backed options, USD-backed cryptocurrencies significantly reduce risk, in contrast to the risk amplification observed in gold-backed cryptocurrencies, particularly Islamic gold-backed assets. Static VaR results align with DCC MGARCH findings, showing increased risk during market turmoil with Islamic gold-backed cryptocurrencies. The dynamic results further underscore the risk-mitigating abilities of USD-backed cryptocurrencies across market conditions. These insights emphasise the strategic selection of cryptocurrencies for effective risk management. Our findings hold significant implications for investors, fund managers, and policymakers, stressing the need for informed decision-making and nuanced regulation in the integration of cryptocurrencies into investment portfolios. We contribute to the evolving landscape of financial instruments by highlighting the unique risk profiles of cryptocurrencies and their role in portfolio risk management.

Suggested Citation

  • Afzol Husain & Kwang-Jing Yii & Chorng Yuan Fung & Richard Busulwa, 2025. "Portfolio risk of cryptocurrency inclusion: a comparison among conventional cryptocurrencies and asset-backed cryptocurrencies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(3), pages 687-739, September.
    • Handle: RePEc:spr:eurase:v:15:y:2025:i:3:d:10.1007_s40822-025-00320-3
    DOI: 10.1007/s40822-025-00320-3
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s40822-025-00320-3
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s40822-025-00320-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:eurase:v:15:y:2025:i:3:d:10.1007_s40822-025-00320-3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.