We examine diversification when cryptocurrencies are included in investment portfolios, around China prohibiting initial coin offerings on 4 September 2017. We discover, once we account for liquidity, that all portfolio diversification benefits of cryptocurrencies are eliminated.
|Number of pages||5|
|Journal||Applied Economics Letters|
|Publication status||Published - 21 Jul 2020|
- Amihud ratio
- bid-ask spread
- portfolio returns