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...

The inclusion of Chinese renminbi in the Special Drawing Rights (SDR) lowers weightings of the other SDR currencies (EUR, JPY, and GBP) in the basket. Conventional wisdom suggests no material impact on those currencies. However, we find that, after the SDR adjustment, the liquidity of...