G11 - Portfolio Choice; Investment DecisionsReturn

This study examines the dynamic connectedness between Bitcoin and various financial assets, including the stock market, gold, oil, bonds, and exchange rates, as well as explores portfolio strategies involving these assets. The study covers the period from January 2, 2015, to March 1, 2024. The quantile connectedness approach and portfolio strategies are utilized in the analysis. The findings are as follows: Intermarket volatility spillover significantly increases under extreme conditions. Bitcoin emerges as a transmitter during bullish markets and acts as a receiver in bearish and normal market conditions. Gold serves as a receiver in extreme conditions and a transmitter in normal conditions. Unlike gold, oil acts as a transmitter under extreme conditions and functions as a receiver under normal conditions. Among the fundamental markets, the stock market is the most significant shock transmitter. In risk-mitigating portfolios, the proportion of Bitcoin is low, while the proportions of gold and the dollar index are high. Bitcoin has been found to have low hedging properties.
Implications for Central European Audience: Since the emergence of Bitcoin in 2008, the cryptocurrency market has developed rapidly. Bitcoin and cryptocurrencies have come to occupy an important place in financial markets in terms of value and volume. Bitcoin can affect portfolio management in the financial system in terms of diversification, hedging, risk management, portfolio strategies, and linkages between financial assets. This study investigates the linkages, hedging and portfolio strategies between Bitcoin and the stock market, gold, oil, bond and exchange rate markets. The results of the study are important for portfolio managers, risk managers, financial analysts and economic managers.

Sovereign wealth funds (SWFs) have a significant influence on global financial markets, with assets exceeding USD 11.2 trillion and accounting for 40% of the world's largest 100 asset owners' total assets. Understanding the drivers behind SWFs' investment decisions is crucial. This study examines the impact of the COVID-19 pandemic related to corporate social responsibility (CSR) and irresponsibility (CSI) compared to financial data on SWFs' investment decisions, analysing 72% of their total public equity holdings from 2019 to 2023. Findings reveal that SWFs prioritize company self-reported environmental, social and governance (ESG) metrics over public CSI information when making investment decisions. Furthermore, public equity holding CSI data have a more pronounced influence on the investment decision of SWFs in countries with higher transparency of sustainability. The study underscores the necessity for greater ESG integration into SWFs' investment strategies to demonstrate a commitment to sustainable investing practices. This research illuminates the path towards a more responsible and sustainable approach for SWFs on global financial markets.
Implications for Central European audience: Our conclusions could help encourage greater ESG integration into investment strategies and promote sustainable investing practices more broadly, not limited to liquid assets, to showcase a sustainable “walk the talk”. A special focus should be put on CSI's development of target investments. Future research might also consider whether the investment behaviour of SWFs is equivalent to that of other major investors, such as insurance companies and public pension schemes.