Mimicking crypto portfolios in sustainable investment

IF 5.5 3区管理学 Q1 BUSINESS, FINANCE British Accounting Review Pub Date : 2024-11-01 DOI:10.1016/j.bar.2024.101463

Mengxia Yu , Ke Xu , Xinwei Zheng

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Abstract

In this paper, considering the difference in the energy demand level, we utilize the daily pricing data from 10/01/2019 to 06/30/2023 to construct mimicking crypto portfolios with 12 clean cryptocurrencies to replace the dirty cryptocurrency, Bitcoin (BTC). With a monthly rebalancing strategy, the mimicking portfolio closely matches the exposures to the risk factors of the BTC but with fewer specific risks. Furthermore, relying on the bivariate dynamic conditional correlation (DCC-) GARCH model, we compare the hedging capability of BTC and the corresponding mimicking crypto portfolio against movements of returns of sustainable assets. The empirical results show that the mimicking crypto portfolio provides ESG investors with a cheaper hedge tool of higher hedge effectiveness compared to the BTC. Moreover, we find that the mimicking crypto portfolio can act as a strong safe haven for the S&P Global Clean Energy Index and S&P Latin America Emerging LargeMidCap ESG Index during periods of market stress. Therefore, the mimicking crypto portfolio is a more attractive option for ESG investors due to its superior hedging efficiency and the added environmental advantages.

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在可持续投资中模仿加密货币投资组合

在本文中，考虑到能源需求水平的差异，我们利用 2019 年 1 月 10 日至 2023 年 6 月 30 日的每日定价数据，构建了 12 种清洁加密货币的模仿加密货币投资组合，以取代肮脏的加密货币比特币（BTC）。通过月度再平衡策略，模拟投资组合与 BTC 的风险因素暴露密切匹配，但具体风险较低。此外，依靠双变量动态条件相关（DCC-）GARCH 模型，我们比较了 BTC 和相应的模仿加密货币投资组合对可持续资产收益变动的对冲能力。实证结果表明，与 BTC 相比，模仿加密货币投资组合为 ESG 投资者提供了一种成本更低且对冲效果更高的对冲工具。此外，我们还发现，在市场紧张时期，模仿加密货币投资组合可以作为标普全球清洁能源指数和标普拉丁美洲新兴大中盘 ESG 指数的有力避风港。因此，模仿加密货币投资组合因其卓越的对冲效率和额外的环境优势，对 ESG 投资者来说更具吸引力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

British Accounting Review BUSINESS, FINANCE-

CiteScore

8.60

自引率

3.90%

发文量

审稿时长

76 days

期刊介绍： The British Accounting Review*is pleased to publish original scholarly papers across the whole spectrum of accounting and finance. The journal is eclectic and pluralistic and contributions are welcomed across a wide range of research methodologies (e.g. analytical, archival, experimental, survey and qualitative case methods) and topics (e.g. financial accounting, management accounting, finance and financial management, auditing, public sector accounting, social and environmental accounting; accounting education and accounting history), evidence from UK and non-UK sources are equally acceptable.

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