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Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis

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  • Huang, Yingying
  • Duan, Kun
  • Mishra, Tapas

Abstract

We examine whether Bitcoin can act as a safe haven against adverse movements of stock and bond assets in five major economies during the COVID-19 bear market. The empirical analyses are conducted using a Bayesian panel VAR method that captures potential interaction and heterogeneity across country/region-segmented markets. We find that Bitcoin in each target economy contributes to diversification benefits and/or risk mitigation both within and across borders, while its sheltering role against traditional assets varies among different economies. Further, we show that the COVID-19 outbreak has altered the role of Bitcoin in various segmented markets except for the US.

Suggested Citation

  • Huang, Yingying & Duan, Kun & Mishra, Tapas, 2021. "Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000970
    DOI: 10.1016/j.frl.2021.102016
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    More about this item

    Keywords

    Bitcoin; Safe Haven; Diversifier; COVID-19; Bayesian panel VAR method;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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