We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of...

Based on the volatility timing framework, this study uses intraday futures contracts (Bitcoin, gold, E-mini S&P 500, and 10-year T-Note) to investigate the economic value of adding Bitcoin instead of gold to a traditional financial portfolio. More important, we analyze the role of rebalancing...

In this study, we document interesting properties of cryptoassets and empirically investigate the dynamic correlations between six major stablecoins and Bitcoin. It is evident that volatilities of Bitcoin and stablecoin returns exhibit asymmetric responses to good and bad news. We evaluate...

We provide an analysis of frontier market equities with respect to world market integration anddiversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of...