Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis

Khelifa, Soumaya Ben; Guesmi, Khaled; Urom, Christian

doi:10.1016/j.irfa.2021.101777

Cited by 33 publications

(18 citation statements)

References 42 publications

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“…The vast majority of the existing studies dealing with Covid-19 covers only the very early stage of the pandemic crisis, which coincides with the emergence of the pandemic crisis (see, Conlon et. al, 2020; Demir et al 2020 ; Yousaf and Ali, 2020 ; Corbet et al 2020 ; Khelifa et al, 2021 ). Very few studies have examined connectedness across cryptocurrencies covering a large enough time span of the pandemic period.…”

Section: Literature Reviewmentioning

confidence: 99%

“…al, 2021; Moratis, 2021 ), while others cover only the very early stage of the pandemic crisis, which coincides with the emergence of the pandemic crisis (see, Conllon et. al, 2020; Demir et al 2020 ; Yousaf and Ali, 2020 ; Corbet et al 2020 ; Khelifa et al, 2021 ). 3 This means that the consequences of the mature stages of the crisis have not been highlighted.…”

Section: Introductionmentioning

confidence: 99%

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Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model

Giannellis

2022

Research in International Business and Finance

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model

Giannellis

2022

Research in International Business and Finance

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“…Many past studies have used various criteria to select the most suitable maximum lag-length (see e.g. Malik et al, 2020 ; Khelifa et al, 2021 ). Following the length of our data sample and the maximum lag order of 1 for each variable, the matrix list (110011) for the ARDL model has been chosen using the SBIC as the most appropriate lag order for the associated variables.…”

Section: Resultsmentioning

confidence: 99%

American hedge funds industry, market timing and COVID-19 crisis

et al. 2022

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This paper addresses two key issues relating to the interactions among the North American hedge funds industry, the equity and treasury bond markets during the COVID-19 pandemic. First, we examine the market-timing ability of North America hedge fund managers using eight strategies as well as the composite hedge fund index. Secondly, we analyze both the short- and long-term effects of both the North American equity and bond markets on the performance of the regional hedge funds industry while accounting for the effects of COVID-19 pandemic. Our results show no significant evidence of market return-timing ability of hedge fund managers across all the funds strategies during the pandemic. However, we document a strong evidence of the effects of the pandemic on the performance of fund managers, except for the Managed Futures and the Relative Value funds strategies. Secondly, we demonstrate that the COVID-19 pandemic may have significantly altered the long-term effects of the North American equity market on the performance of the hedge fund industry while the effects of the bond market is only significant in the short-term. We outlined some crucial implications of these findings for the decision-making process of hedge fund managers, investors as well as market makers during a health crisis-induced financial market turbulence.

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“…Several studies found that cryptocurrency can be used to reduce overall portfolio risk (Diniz-Maganini et al, 2021; Melki & Nefzi, 2022; Paule-Vianez et al, 2020). Crypto Hedge Fund, which is a combination of several types of cryptocurrency, is proven to not be significantly influenced by crisis such as COVID-19 (Ben Khelifa et al, 2021). In addition to that, using several types of equally-weighted cryptocurrencies apparently resulted in a more significant and consistent hedging effect compared to using only one type of cryptocurrency (Susilo et al, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach

et al. 2022

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This study aims to compose a portfolio consisting crypto hedge fund and ASEAN-5 stock market and to examine the hedging effect of crypto hedge fund against those stock markets. This study employs dynamic portfolio approach using data from the period of July 2013 to August 2021. This analysis finds that crypto hedge fund can provide hedging effect against ASEAN-5 stock portfolio resulting in hedging effectiveness with positive value. Crypto hedge fund is also proven to be able to increase the risk adjusted performance of all ASEAN-5 portfolio observed under this study, shown by an increase in Sharpe ratio and Sortino ratio.

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Exploring the relationship between cryptocurrencies and hedge funds during COVID-19 crisis

Cited by 33 publications

References 42 publications

Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model

Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model

American hedge funds industry, market timing and COVID-19 crisis

ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach

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