미국 ETF 시장의 암호화폐 지수 도입 가능성: 시스템 리스크와 포트폴리오 이론의 관점에서

Abstract

In this study, we analyzed how the introduction of the cryptocurrency index into the U.S. financial market from a macro perspective affects the market. A cryptocurrency index with several specific categories was introduced into the U.S. financial market and the possibility of introduction into the U.S. market from the perspective of systemic risk and portfolio theory. As a result, the experiment results confirmed that the cryptocurrency index could play a role like existing asset groups. In addition, in this study, the maximum Sharpe ratio in return to investment risk was derived based on modern portfolio theory. This study is significant because it confirmed the possibility of introducing the cryptocurrency index as a new asset in the U.S. ETF market, based on their Sharpe ratio derived from portfolio optimization results.