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Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?

Author

Listed:
  • Elie Bouri

    (USEK - Université Saint-Esprit de Kaslik)

  • Naji Jalkh

    (USJ - Université Saint-Joseph de Beyrouth)

  • Peter Molnár

    (UiS Business School [University of Stavanger] - University of Stavanger)

  • David Roubaud

    (MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier)

Abstract

We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine whether that ability is also present for non-energy commodities and our analysis show insignificant results when energy commodities are excluded from the general commodity index. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe-haven properties against commodities and energy commodities are only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.

Suggested Citation

  • Elie Bouri & Naji Jalkh & Peter Molnár & David Roubaud, 2017. "Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?," Post-Print hal-02008553, HAL.
    • Handle: RePEc:hal:journl:hal-02008553
    DOI: 10.1080/00036846.2017.1299102
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    energy commodities; diversifier; Cryptocurrency; Q4; safe haven; G1; Bitcoin crash; C1; commodities; hedge;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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