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Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

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  • Syuhada, Khreshna
  • Suprijanto, Djoko
  • Hakim, Arief

Abstract

This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin’s safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin’s small allocation only.

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  • Syuhada, Khreshna & Suprijanto, Djoko & Hakim, Arief, 2022. "Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach," Finance Research Letters, Elsevier, vol. 46(PB).
    • Handle: RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004517
    DOI: 10.1016/j.frl.2021.102471
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    References listed on IDEAS

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    Cited by:

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