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    CRYPTOCURRENCIES AND TRADITIONAL ASSETS: THE EMPIRICAL STUDY IN DYNAMIC LINKAGES AND PORTFOLIO OPTIMIZATION 

    Watcharaporn Kantaphayao; Sorasart Sukcharoensin; Sorasart Sukcharoensin (National Institute of Development Administration, 7/1/2022)

    The paper generates the top 5-coin index and the top 5-token index and treats them as the cryptocurrency price to investigate for three main objectives. First, it has to investigate the short-term dynamic spillover between cryptocurrency and main traditional assets. Second, it has to examine the fundamental characters of both coin and token by long-term relationships with other traditional assets, as well as forecasting price ability. Third, it has to analyze the asset allocation for the portfolio optimization approach by applying the dynamic ...