The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks

Efthymia Symitsi, Konstantinos J. Chalvatzis

Research output: Contribution to journalArticlepeer-review

122 Citations (Scopus)
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We assess the out-of-sample performance of Bitcoin within portfolios of various asset classes and a well-diversified portfolio under four strategies and estimate the economic gains net of transaction costs. We find statistically significant diversification benefits from the inclusion of Bitcoin which are more pronounced for commodities. Most importantly, the decrease in the overall portfolio risk due to the low correlation of Bitcoin with other assets is not offset by its high volatility. However, the inclusion of Bitcoin pays off little if investors accommodate a battery of economic instruments. Considering non-bubble conditions that are not marked by explosive prices in cryptocurrencies, we document substantially diminished benefits.
Original languageEnglish
Pages (from-to)97-110
Number of pages14
JournalResearch in International Business and Finance
Early online date5 Dec 2018
Publication statusPublished - Apr 2019


  • Bitcoin
  • Portfolio
  • Economic value
  • Non-Bubble
  • Dynamic Conditional Correlation

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