Researchdouble machine learningjump diffusioncrypto etfsportfolio diversification
Crypto ETFs Reduce Cryptocurrency Diversification Benefits
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7.2
Travis Dyer and Nicholas Guest analyze shock transmission between cryptocurrencies and U.S. equities from October 19, 2021 to July 22, 2024 using jump detection and double machine learning. They report that before crypto ETFs BTC and ETH often offset S&P moves (about −0.07% SPX per 1% crypto), but after ETF launches crypto co-moves with equities and loses most diversification value.
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