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Location
Innovation 4 3 Research Link Singapore, 117602 Singapore
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About this event
The NUS–SKKU FinTech Seminar Series is a collaborative effort by the Asian Institute of Digital Finance (AIDF) at NUS and Department of FinTech at SKKU.
This seminar will be conducted in a hybrid format (In-Person and Online Live Webinar).
Please note the different locations for the event:
- In-Person (NUS) : Innovation 4 (i4.0) Building, 3 Research Link, Level 01-05 (Conference Room), Singapore, 117602 (please note that the speaker will be online)
- Online (Zoom Link will be sent via email 2 days before and the morning of the event)
Volatile Safe-Haven Asset
FinTech Seminar (December): James Yae
Despite its high volatility, Bitcoin is alleged to offer diversification benefits through its relatively low correlation with stock markets. However, Bitcoin differs from traditional safe-haven assets; its price is highly sensitive to time-varying correlations and diversification benefits. We find that a decrease (an increase) in correlation between Bitcoin and S&P500 index strongly predicts higher (lower) Bitcoin returns the next day. Following the mean-variance framework, we develop a stylized model of Bitcoin prices utilizing extreme disagreement among Bitcoin investors. When the model is calibrated to Bitcoin's predictability results, it simultaneously explains the lack of predictability in gold and long-term treasuries.
Speaker
James Yae, University of Houston