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Replicating Bitcoin Performance: A Connectedness Analysis of Equity Portfolios

Author

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  • Lorette Danilo

    (University of Rennes, CNRS, CREM–UMR6211
    Arkea Asset Management)

Abstract

This chapter studies the relationship between international stock markets and Bitcoin to propose an investment strategy that uses a stock basket to mimic Bitcoin’s performance. Utilizing connectedness measures from Diebold and Yilmaz (The Economic Journal 119:158-, 2009) and portfolio construction techniques from Markowitz (Journal of Finance 7:77-, 1952) and Roll (Journal of Portfolio Management 18:13-, 1992), we analyze a diverse set of stocks from three regions over the period from December 2011 to December 2024. Our findings indicate that the connectedness between stocks and Bitcoin varies, particularly increasing during crises, with Bitcoin acting as a net receiver of shocks. While perfect replication of Bitcoin is difficult, our methods can capture its trend, achieving an 80% correlation.

Suggested Citation

  • Lorette Danilo, 2026. "Replicating Bitcoin Performance: A Connectedness Analysis of Equity Portfolios," Springer Proceedings in Business and Economics,, Springer.
    • Handle: RePEc:spr:prbchp:978-3-032-19314-8_6
    DOI: 10.1007/978-3-032-19314-8_6
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