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Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar

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  • Das, Debojyoti
  • Le Roux, Corlise Liesl
  • Jana, R.K.
  • Dutta, Anupam

Abstract

In this article, we examine the hedging and safe-haven properties of Bitcoin against crude oil implied volatility (OVX) and structural shocks using a dummy variable GARCH and quantile regression model. In addition, we also compare the hedging and safe-haven performance of Bitcoin with gold, commodity and US Dollar. We conclude that Bitcoin is not the superior asset over others to hedge oil-related uncertainties. Besides, hedging capacity of different assets is conditional upon the nature of oil risks and market situation. Thus, investors may prefer different investment instruments to hedge downside risks in different economic situations and market states.

Suggested Citation

  • Das, Debojyoti & Le Roux, Corlise Liesl & Jana, R.K. & Dutta, Anupam, 2020. "Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319306725
    DOI: 10.1016/j.frl.2019.101335
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    More about this item

    Keywords

    Bitcoin; Gold; Commodity; Hedge; Safe-haven; Crude oil; Quantile regression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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