Crypto market betas: the limits of predictability and hedging
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F25%3A00646138" target="_blank" >RIV/67985556:_____/25:00646138 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/25:10511365
Result on the web
<a href="https://link.springer.com/article/10.1186/s40854-025-00777-w" target="_blank" >https://link.springer.com/article/10.1186/s40854-025-00777-w</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1186/s40854-025-00777-w" target="_blank" >10.1186/s40854-025-00777-w</a>
Alternative languages
Result language
angličtina
Original language name
Crypto market betas: the limits of predictability and hedging
Original language description
This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary least squares (OLS) and Vasicek’s Bayesian shrinkage estimator, and assess their impact on portfolio variance reduction across cryptomarket indices. Our findings indicate that while standard OLS betas explain significantly less of the variation in future betas for cryptoassets compared to US stocks, slope winsorization and Bayesian shrinkage improve prediction accuracy. The results suggest that beta-hedged portfolios reduce variance for approximately 17% of the universe, with the Broad Digital Market Index demonstrating the best hedging efficiency. These findings underscore the significant challenges of developing effective hedging strategies in the cryptocurrency market, emphasizing the importance of idiosyncratic risk in crypto returns and the need for appropriate market index representation.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA23-06606S" target="_blank" >GA23-06606S: Deep dive into decentralized finance: Market microstructure, and behavioral and psychological patterns</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Financial Innovation
ISSN
2199-4730
e-ISSN
2199-4730
Volume of the periodical
11
Issue of the periodical within the volume
1
Country of publishing house
US - UNITED STATES
Number of pages
28
Pages from-to
107
UT code for WoS article
001488135200001
EID of the result in the Scopus database
2-s2.0-105005093210