Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach The authors apply a series of statistical methods, including the Johansen test and Engle–Granger test, to derive a linear combination of cryptocurrencies that form a mean-reverting portfolio. Trading systems are designed and different trading strategies with stop-loss constraints are tested and compared according to a set of performance metrics. Findings The paper finds cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) and Litecoin (LTC), and the corresponding trading strategies are shown to be profitable under different configurations. Originality/value The main contributions of the study are the use of multiple altcoins in addition to bitcoin to construct a cointegrated portfolio, and the detailed comparison of the performance of different trading strategies with and without stop-loss constraints.
In this paper, we study the relationship between institutional ownership and capital structure. Based on the principle of minimizing financing cost, this paper firstly constructs a dynamic optimizing model of capital structure from the angle of institutional ownership. Then, it uses panel data of 539 China listed companies of manufacturing industry from 2005 to 2007 to make regression of fixed effects model. The results indicate that the percentage of institutional stock holdings has positive relation with capital structure, and the decentralized degree of institutional ownership is negatively related to capital structure. The robustness check agrees with these results. Finally, this paper points that developing institutional investors is one way to solve the current low debt ratio of China listed companies.