Replicating Bitcoin Performance: A Connectedness Analysis of Equity Portfolios
Date : Jeudi | 2025-01-05 à 12h30
Lieu : Salle B.103
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Lorette DANILO (CREM, Université de Rennes)
This paper studies the relationship between international stock markets and Bitcoin to propose an investment strategy that uses a stock basket to mimic Bitcoin's performance. Utilizing connectedness measures from Diebold and Yilmaz (2009) and portfolio construction techniques from Markowitz (1952) and Roll (1992), we analyze a diverse set of stocks from three regions over the period from December 2011, to December 2024. Our findings indicate that the connectedness between stocks and Bitcoin varies, particularly increasing during crises, with Bitcoin acting as a net receiver of shocks. While perfect replication of Bitcoin is difficult, our methods can capture its trend, achieving an 80% correlation.
