WITHDRAWN: Mimicking crypto portfolios in sustainable investment
利用2019年10月至2023年6月的日度数据，用12种清洁加密货币构建模拟投资组合替代比特币，发现该组合对冲可持续资产更有效且成本更低，在压力时期可作为强安全港。
In this paper, considering the difference in the energy demand level, we utilize the daily pricing data from 10/01/2019 to 06/30/2023 to construct mimicking crypto portfolios with 12 clean cryptocurrencies to replace the dirty cryptocurrency, Bitcoin (BTC). With a monthly rebalancing strategy, the mimicking portfolio closely matches the exposures to the risk factors of the BTC but with fewer specific risks. Furthermore, relying on the bivariate dynamic conditional correlation (DCC-) GARCH model, we compare the hedging capability of BTC and the corresponding mimicking crypto portfolio against movements of returns of sustainable assets. The empirical results show that the mimicking crypto portfolio provides ESG investors with a cheaper hedge tool of higher hedge effectiveness compared to the BTC. Moreover, we find that the mimicking crypto portfolio can act as a strong safe haven for the S&P Global Clean Energy Index and S&P Latin America Emerging LargeMidCap ESG Index during periods of market stress. Therefore, the mimicking crypto portfolio is a more attractive option for ESG investors due to its superior hedging efficiency and the added environmental advantages.