Covid-19前後における暗号資産の分散投資における有効性に関する分析

抄録

Following the COVID-19 outbreak, unlike the plunge in traditional mainstream assets, crypto assets haveperformed very well. Indices that reflect changes in the crypto assets market have also grown in recent years. However,in terms of cryptocurrency index-related studies, there are not many, and the period analyzed is mostly three years. Inthis study, we analyze the impact of crypto assets on portfolio construction and attempt to clarify the risk-returncharacteristics of portfolios that include crypto assets as investment targets. We analyze historical data from July 2014to April 2020 based on the cryptocurrency index CRIX and six other traditional mainstream assets. By using theDCC-GARCH model, this study finds out the low dynamic correlation between the crypto assets and traditional ones.By using the mean-variance model, Cornish-fisher expansion, and T-copula CVaR approach to check the frontier lineand portfolio performance, we find out that crypto assets have the potential to improve the risk-return characteristics oftraditional portfolios.