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Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets

Author

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  • Sang Hoon Kang

    (Pusan National University)

  • Seong-Min Yoon

    (Pusan National University)

  • Stelios Bekiros

    (Athens University of Economics and Business)

  • Gazi S. Uddin

    (Linköping University)

Abstract

It is crucial for investors to manage their investment risk. This paper examines the dynamic equicorrelation relationship between Bitcoin and four major investment assets, namely, US stock (S&P 500), US dollar, Treasury bonds and gold futures. Our empirical analysis reveals an asymmetric causality between Bitcoin and other asset classes. The results indicate that Bitcoin may be employed as an effective safe haven for investors by providing invaluable information to reduce downside risk, hence strengthening diversification benefits in optimal asset allocation and portfolio risk management.

Suggested Citation

  • Sang Hoon Kang & Seong-Min Yoon & Stelios Bekiros & Gazi S. Uddin, 2020. "Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 529-545, August.
    • Handle: RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09935-6
    DOI: 10.1007/s10614-019-09935-6
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    Cited by:

    1. Satya Prakash Yadav & Krishna Kant Agrawal & Bhoopesh Singh Bhati & Fadi Al-Turjman & Leonardo Mostarda, 2022. "Blockchain-Based Cryptocurrency Regulation: An Overview," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1659-1675, April.
    2. Xu, Lei & Kinkyo, Takuji, 2023. "Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    3. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
    4. Lei Wang & Provash Kumer Sarker & Elie Bouri, 2023. "Short- and Long-Term Interactions Between Bitcoin and Economic Variables: Evidence from the US," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1305-1330, April.
    5. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    6. Stelios Bekiros & Axel Hedström & Evgeniia Jayasekera & Tapas Mishra & Gazi Salah Uddin, 2021. "Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1289-1299, December.

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    More about this item

    Keywords

    Bitcoin; Downside risk; Portfolio management; Quantile regression;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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