A comparative evaluation of select cryptocurrencies and precious metals as alternative investments during a market turmoil

Date of Publication

5-2-2024

Document Type

Master's Thesis

Degree Name

Master of Science in Computational Finance

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management Department

Thesis Advisor

Dioscoro Baylon Jr

Defense Panel Chair

Dr. Robert Rol Richard Ramos

Defense Panel Member

Dr. Ricarte Pinlac

Sir Francis Viernes

Abstract (English)

In recent years, financial markets experienced heightened levels of uncertainty and volatility due to various factors, including rising interest rates, inflation rates, geopolitical tensions, and the COVID-19 pandemic. During this time, conventional investments like equities and debt securities might not provide the desired returns and stability sought by the investors. Therefore, considering alternative investment instruments during this time might have been a good idea.

This paper examined and evaluated select cryptocurrencies and precious metals during market turmoil by employing a time-varying Sharpe ratio to compare their risk-adjusted returns. It applied the DCC-GARCH and VAR model to examine their correlation and association. Also, it extended the use of the DCC-GARCH model to determine which alternative investment instrument could provide a better hedge during economic turmoil.

The findings showed that during the 2018 stock market correction, where most of the indices dropped by at least 6%, precious metals held a slight advantage over cryptocurrencies. However, cryptocurrencies fared better than precious metals amidst the pandemic. It also revealed the weak correlation of these instruments during these two economic turmoil periods. Lastly, it demonstrated that cryptocurrencies provided a better hedge compared to precious metals, with the exception of the Australian Stock Exchange (ASX) for both periods, the Russell 2000 Index, and NASDAQ during the course of the pandemic.

Abstract Format

html

Abstract (Filipino)

None

Abstract Format

html

Language

English

Format

Electronic

Keywords

Cryptocurrencies

Upload Full Text

wf_yes

Embargo Period

5-1-2024

This document is currently not available here.

Share

COinS