Cryptocurrencies as an Asset Class?

36 Pages Posted: 2 May 2018 Last revised: 28 Nov 2018

See all articles by Sinan Krueckeberg

Sinan Krueckeberg

University of the German Federal Armed Forces - Helmut Schmidt Universität; HSBA Hamburg School of Business Administration

Peter Scholz

Hamburg School of Business Administration

Date Written: November 27, 2018

Abstract

Cryptocurrencies are a new and unclassified emergence at the intersection of technology and finance. It is therefore of particular interest whether cryptocurrencies can form a new asset class for investment purposes. We find that cryptocurrencies show characteristics of a distinct asset class based on strong internal correlation, an absence of correlation with any traditional asset class as well as sufficient market liquidity, while market stability has room for improvement. Adding cryptocurrency to traditional portfolio structures leads to significant and persistent risk-adjusted outperformance. These results support the careful introduction of cryptocurrencies into the asset management mainstream.

Keywords: Cryptocurrency, Tokens, Coins, Asset Class, Portfolio Optimization, Asset Management

JEL Classification: G11, G23, E42

Suggested Citation

Krueckeberg, Sinan and Scholz, Peter, Cryptocurrencies as an Asset Class? (November 27, 2018). Available at SSRN: https://ssrn.com/abstract=3162800 or http://dx.doi.org/10.2139/ssrn.3162800

Sinan Krueckeberg (Contact Author)

University of the German Federal Armed Forces - Helmut Schmidt Universität ( email )

Hamburg
Germany

HOME PAGE: http://www.krueckeberg.us

HSBA Hamburg School of Business Administration ( email )

Germany

Peter Scholz

Hamburg School of Business Administration ( email )

Adolphsplatz 1
Hamburg, 20457
Germany

HOME PAGE: http://think-finance.de

Register to save articles to
your library

Register

Paper statistics

Downloads
196
rank
145,643
Abstract Views
647
PlumX Metrics