重新评估加密货币对投资组合多元化的贡献--特别关注德国投资者的投资组合分析
Re-evaluating cryptocurrencies' contribution to portfolio diversification -- A portfolio analysis with special focus on German investors
摘要：
在本文中，我们研究了将加密货币混合到德国投资者投资组合中是否可以提高投资组合的多样化。我们分析这个研究问题，通过应用（均值方差）投资组合分析，使用工具箱组成的（一）描述性统计的比较，（二）图形方法和（三）计量经济学跨越测试。与以前的大多数研究相比，我们使用（广泛）定制的等权重加密货币指数（EWCI）来捕捉整个事先定义的加密货币世界的平均发展，并减轻数据中可能的生存偏差。根据Glas/Poddig（2018）的说法，这种偏倚可能导致一些现有研究中的误导性结果。我们发现，加密货币可以在我们数据集的一些分析窗口中改善投资组合多元化（包括2014-01-01至2019-05-31的每周观察）。然而，我们不能确认这种模式是正常情况。通过将加密货币纳入其投资组合，投资者主要无法达到显著更高的有效前沿。如果考虑加密货币收益的非正态性，这些结果也成立。此外，如果另外考虑加密货币市场上的交易成本/流动性不足，我们将控制结果的变化。
英文摘要：
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting of (i) the comparison of descriptive statistics, (ii) graphical methods and (iii) econometric spanning tests. In contrast to most of the former studies we use a (broad) customized, Equally-Weighted Cryptocurrency Index (EWCI) to capture the average development of a whole ex ante defined cryptocurrency universe and to mitigate possible survivorship biases in the data. According to Glas/Poddig (2018), this bias could have led to misleading results in some already existing studies. We find that cryptocurrencies can improve portfolio diversification in a few of the analyzed windows from our dataset (consisting of weekly observations from 2014-01-01 to 2019-05-31). However, we cannot confirm this pattern as the normal case. By including cryptocurrencies in their portfolios, investors predominantly cannot reach a significantly higher efficient frontier. These results also hold, if the non-normality of cryptocurrency returns is considered. Moreover, we control for changes of the results, if transaction costs/illiquidities on the cryptocurrency market are additionally considered.
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