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THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT

Yıl 2021, Cilt: 14 Sayı: 1, 154 - 155, 31.12.2021
https://doi.org/10.17261/Pressacademia.2021.1517

Öz

Purpose- The investment instinct that has come from the past years and the developing technology provides new opportunities. The
transaction volumes of cryptocurrencies, especially Bitcoin, which have entered our lives since 2008, have increased significantly in the last
few years. The high volatility, high return, and high risk in cryptocurrencies attract some investors, although it is attractive to some. The
primary purpose of this study is to investigate the usability of cryptocurrencies in portfolio management and how they will affect portfolio
returns.
Methodology- Daily data from January 1, 2019, to December 31, 2020, were used in the study. The return, risk, and Sharpe ratios of portfolios
created with stocks and new portfolios created by adding crypto currencies compared.
Findings- The analysis reveals that portfolios including cryptocurrencies have both higher risk rates and higher returns. It was concluded that
the Sharpe ratios of the portfolios created in 2019 were high, and the portfolio performance was good.
Conclusion- According to the study, the returns of portfolios that include cryptocurrencies are higher than portfolios that are not included.
Moreover, due to the volatility of the cryptocurrency market, the investor should consider the possible risks.

Kaynakça

  • Akhtaruzzaman, M., Sensoy, A. & Corbet, S. (2020). The Influence of Bitcoin on Portfolio Diversification and Design. Finance Research Letters, Y 37, pp. 200-205.
  • Bakry, W., Rashid, A., Al Mohammad, S. & El Kanj, N. (2021). Bitcoin and Portfolio Diversification: Portfolio Optimization Approach. Journal of Risk and Financial Management, 14 282, pp. 1-24.
  • Bekçioğlu, S. (1984). Portfolio Approaches and Application of the Markowitz Portfolio Approach to the Turkish Stock Market, Ankara.
  • Carpenter, A. (2016). Portfolio diversification with Bitcoin. Journal of Undergraduate Research in Finance, 6(1), 1-27.
  • Ceylan, A. & Korkmaz, T. (2004). Capital Market and Securities Anaylsis, İstanbul, Ekin Bookstore.
  • Coinmarketcap. Cryptocurrency market capitalizations. Retrieved from https://coinmarketcap.com
  • Esteves, C. M. G. (2020). Portfolio Diversification Using Bitcoin. Unpublished Master’s Thesis, University of Lisbon, Lisbon School of Economic Management, Lizbon.
  • Gökgöz, E. (2006). Value at Risk (VaR) and Portfolio Optimization. Ankara: Capital Markets Board.
  • Gül, Y. (2020). Cryptocurrencies and Portfolio Diversification. Dumlupınar University Journal of Social Sciences. Y 65, pp 125-141.
  • Investing. Cryptocurrency market capitalizations. Retrieved from https://tr.investing.com.
  • Jones, C., Heaton, C. & Tuttle, D. (1977). Essentials of Modern Investments, The Ronald Press Company, New York.
  • Kajtazi, A., & Moro, A. (2019). The Role of Bitcoin in well Diversified Portfolios: A Comparative Global Study. International Review of Financial Analysis, Y 61, pp. 143-157.
  • Kapusuzoğlu, A. & İbicioğlu, M. (2013). Portfolio Diversification: An Analysis on Sectoral Indices in the ISE. Journal of Accounting and Finance, pp. 119-137.
  • Karaağaç, G. A. & Altınırmak, S. (2018). The Interaction of Ten Cryptocurrencies with the Highest Market Value. Journal of Accounting and Finance, (July), pp. 123-138.
  • Liu, W. (2019). Portfolio Diversification Across Cryptocurrencies. Finance Research Letters, Y 29, pp. 200-205.
  • Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, Vol 7, No 1, pp. 77-91
  • Mortaş, M. & Garip, O. (2015). Optimum Portfolio Selection and A Study on the Companies Traded in the Bist. Mehmet Akif Ersoy University Journal of Social Sciences Institute, Y 13, pp. 246-247.
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Retrieved from https://bitcoin.org/en/bitcoin-paper.
  • Oxford Dictionary of English 2e, Oxford University Press, 2003.
  • Symitsi, E., & Chalvatzis, K.J. (2019). The Economic Value of Bitcoin: A Portfolio Analysis of Currencies, Gold, Oil and Stocks. Research in International Business and Finance, Y 48, pp. 97-110.
  • Trimborn, S., Li, M., & Härdle, W.K. (2017). Investing with cryptocurrencies – a liquidity constrained investment approach (SBF 649 Discussion Paper Series). Accessed from Econstor: https://www.econstor.eu/bitstream/10419/169204/1/SFB649DP2017-014.pdf (Date of Access: 12.08.2021)
Yıl 2021, Cilt: 14 Sayı: 1, 154 - 155, 31.12.2021
https://doi.org/10.17261/Pressacademia.2021.1517

Öz

Kaynakça

  • Akhtaruzzaman, M., Sensoy, A. & Corbet, S. (2020). The Influence of Bitcoin on Portfolio Diversification and Design. Finance Research Letters, Y 37, pp. 200-205.
  • Bakry, W., Rashid, A., Al Mohammad, S. & El Kanj, N. (2021). Bitcoin and Portfolio Diversification: Portfolio Optimization Approach. Journal of Risk and Financial Management, 14 282, pp. 1-24.
  • Bekçioğlu, S. (1984). Portfolio Approaches and Application of the Markowitz Portfolio Approach to the Turkish Stock Market, Ankara.
  • Carpenter, A. (2016). Portfolio diversification with Bitcoin. Journal of Undergraduate Research in Finance, 6(1), 1-27.
  • Ceylan, A. & Korkmaz, T. (2004). Capital Market and Securities Anaylsis, İstanbul, Ekin Bookstore.
  • Coinmarketcap. Cryptocurrency market capitalizations. Retrieved from https://coinmarketcap.com
  • Esteves, C. M. G. (2020). Portfolio Diversification Using Bitcoin. Unpublished Master’s Thesis, University of Lisbon, Lisbon School of Economic Management, Lizbon.
  • Gökgöz, E. (2006). Value at Risk (VaR) and Portfolio Optimization. Ankara: Capital Markets Board.
  • Gül, Y. (2020). Cryptocurrencies and Portfolio Diversification. Dumlupınar University Journal of Social Sciences. Y 65, pp 125-141.
  • Investing. Cryptocurrency market capitalizations. Retrieved from https://tr.investing.com.
  • Jones, C., Heaton, C. & Tuttle, D. (1977). Essentials of Modern Investments, The Ronald Press Company, New York.
  • Kajtazi, A., & Moro, A. (2019). The Role of Bitcoin in well Diversified Portfolios: A Comparative Global Study. International Review of Financial Analysis, Y 61, pp. 143-157.
  • Kapusuzoğlu, A. & İbicioğlu, M. (2013). Portfolio Diversification: An Analysis on Sectoral Indices in the ISE. Journal of Accounting and Finance, pp. 119-137.
  • Karaağaç, G. A. & Altınırmak, S. (2018). The Interaction of Ten Cryptocurrencies with the Highest Market Value. Journal of Accounting and Finance, (July), pp. 123-138.
  • Liu, W. (2019). Portfolio Diversification Across Cryptocurrencies. Finance Research Letters, Y 29, pp. 200-205.
  • Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, Vol 7, No 1, pp. 77-91
  • Mortaş, M. & Garip, O. (2015). Optimum Portfolio Selection and A Study on the Companies Traded in the Bist. Mehmet Akif Ersoy University Journal of Social Sciences Institute, Y 13, pp. 246-247.
  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Retrieved from https://bitcoin.org/en/bitcoin-paper.
  • Oxford Dictionary of English 2e, Oxford University Press, 2003.
  • Symitsi, E., & Chalvatzis, K.J. (2019). The Economic Value of Bitcoin: A Portfolio Analysis of Currencies, Gold, Oil and Stocks. Research in International Business and Finance, Y 48, pp. 97-110.
  • Trimborn, S., Li, M., & Härdle, W.K. (2017). Investing with cryptocurrencies – a liquidity constrained investment approach (SBF 649 Discussion Paper Series). Accessed from Econstor: https://www.econstor.eu/bitstream/10419/169204/1/SFB649DP2017-014.pdf (Date of Access: 12.08.2021)
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans, İşletme
Bölüm Makaleler
Yazarlar

Hatice Yıldırım Bu kişi benim 0000-0001-8334-6338

Ayben Koy Bu kişi benim 0000-0002-2506-6634

Yayımlanma Tarihi 31 Aralık 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 14 Sayı: 1

Kaynak Göster

APA Yıldırım, H., & Koy, A. (2021). THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT. PressAcademia Procedia, 14(1), 154-155. https://doi.org/10.17261/Pressacademia.2021.1517
AMA Yıldırım H, Koy A. THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT. PAP. Aralık 2021;14(1):154-155. doi:10.17261/Pressacademia.2021.1517
Chicago Yıldırım, Hatice, ve Ayben Koy. “THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT”. PressAcademia Procedia 14, sy. 1 (Aralık 2021): 154-55. https://doi.org/10.17261/Pressacademia.2021.1517.
EndNote Yıldırım H, Koy A (01 Aralık 2021) THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT. PressAcademia Procedia 14 1 154–155.
IEEE H. Yıldırım ve A. Koy, “THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT”, PAP, c. 14, sy. 1, ss. 154–155, 2021, doi: 10.17261/Pressacademia.2021.1517.
ISNAD Yıldırım, Hatice - Koy, Ayben. “THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT”. PressAcademia Procedia 14/1 (Aralık 2021), 154-155. https://doi.org/10.17261/Pressacademia.2021.1517.
JAMA Yıldırım H, Koy A. THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT. PAP. 2021;14:154–155.
MLA Yıldırım, Hatice ve Ayben Koy. “THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT”. PressAcademia Procedia, c. 14, sy. 1, 2021, ss. 154-5, doi:10.17261/Pressacademia.2021.1517.
Vancouver Yıldırım H, Koy A. THE EFFECT OF CRYPTOCURRENCIES IN PORTFOLIO MANAGEMENT. PAP. 2021;14(1):154-5.

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