IDEAS home Printed from https://ideas.repec.org/a/gam/jecomi/v12y2024i12p351-d1547835.html
   My bibliography  Save this article

The Importance of Bitcoin and Commodities as Investment Diversifiers in OPEC and Non-OPEC Countries

Author

Listed:
  • Angham Ben Brayek

    (Department of Economic and Finance, Taif University, Taif 21974, Saudi Arabia)

  • Hanen Ben Ameur

    (Department of Economic and Finance, Taif University, Taif 21974, Saudi Arabia)

  • Farea Mohammed Alharbi

    (Department of Economic and Finance, Taif University, Taif 21974, Saudi Arabia)

Abstract

The study aims to critically assess the safe-haven properties of Bitcoin and a diverse set of commodities in mitigating stock market risks during periods of extreme financial turbulence. Specifically, this research seeks to evaluate the effectiveness of these assets as hedging tools or diversifiers in the portfolios of both OPEC and non-OPEC countries, focusing on their behavior during the COVID-19 pandemic. We employ a wavelet coherence approach to analyze the dynamic relationships between the variables. Portfolio optimization is conducted using CVaR to assess the effectiveness of these assets as safe havens, hedges, or diversification tools in mitigating financial risks during periods of heightened market volatility. The diversification benefits of commodities and Bitcoin in OPEC and non-OPEC stock portfolios decrease over time as their co-movement with stock markets increases. During the COVID-19 period, BTC did not act as a safe haven. However, gold served as a hedge for non-OPEC countries. Using CVaR, we found that BTC provides stronger diversification benefits than commodities, followed by gold. We examine the safe-haven role of Bitcoin and various commodities, specifically within the context of both OPEC and non-OPEC countries. Our study offers a more comprehensive analysis of how BTC and commodities function as portfolio assets during financial stress, providing valuable insights for investors and policymakers.

Suggested Citation

  • Angham Ben Brayek & Hanen Ben Ameur & Farea Mohammed Alharbi, 2024. "The Importance of Bitcoin and Commodities as Investment Diversifiers in OPEC and Non-OPEC Countries," Economies, MDPI, vol. 12(12), pages 1-11, December.
    • Handle: RePEc:gam:jecomi:v:12:y:2024:i:12:p:351-:d:1547835
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7099/12/12/351/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7099/12/12/351/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
    2. Rachna Banerjee & Sudipa Majumdar & Zahra Mohammed, 2023. "Oil Price Changes and Stock Market Performance in UAE: Evidence of Cointegration Persists in Economic Diversification era," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 552-561, January.
    3. Arianna Agosto & Alessia Cafferata, 2020. "Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market," Risks, MDPI, vol. 8(2), pages 1-14, April.
    4. Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
    5. Dutta, Anupam & Das, Debojyoti & Jana, R.K. & Vo, Xuan Vinh, 2020. "COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin," Resources Policy, Elsevier, vol. 69(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Duan, Kun & Zhao, Yanqi & Urquhart, Andrew & Huang, Yingying, 2023. "Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty," Energy Economics, Elsevier, vol. 127(PA).
    2. Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Michael Demmler & Amilcar Orlian Fern�ndez Dom�nguez, 2021. "Bitcoin and the South Sea Company: A comparative analysis," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 197-224.
    4. Choi, Sangyup & Shin, Junhyeok, 2022. "Bitcoin: An inflation hedge but not a safe haven," Finance Research Letters, Elsevier, vol. 46(PB).
    5. Imran, Zulfiqar Ali & Ahad, Muhammad, 2023. "Safe-haven properties of green bonds for industrial sectors (GICS) in the United States: Evidence from Covid-19 pandemic and Global Financial Crisis," Renewable Energy, Elsevier, vol. 210(C), pages 408-423.
    6. Kavya Clanganthuruthil Sajeev & Mohd Afjal, 2022. "Contagion effect of cryptocurrency on the securities market: a study of Bitcoin volatility using diagonal BEKK and DCC GARCH models," SN Business & Economics, Springer, vol. 2(6), pages 1-21, June.
    7. Ren, Xiaohang & Wang, Rui & Duan, Kun & Chen, Jinyu, 2022. "Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Zeinedini, Shabnam & Karimi, Mohammad Sharif & Khanzadi, Azad & Falahati, Ali, 2024. "Impact of oil and gold prices on Bitcoin price during Russia-Ukraine and Israel-Gaza wars," Resources Policy, Elsevier, vol. 99(C).
    9. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "Volatility spillovers and other dynamics between cryptocurrencies and the energy and bond markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 1-13.
    10. Mariem Bouzguenda & Anis Jarboui, 2025. "Quantile connectivity between cryptocurrency, commodities, gold and BRICS index: what is the best investment strategy?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 125-161, March.
    11. Omane-Adjepong, Maurice & Alagidede, Imhotep Paul, 2021. "Exploration of safe havens for Africa's stock markets: A test case under COVID-19 crisis," Finance Research Letters, Elsevier, vol. 38(C).
    12. Guo, Xiaochun & Lu, Fengbin & Wei, Yunjie, 2021. "Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
    13. Fatma Abdelkaoui & Ali Sidaoui & Feriel Nasser & Meriem Bouzidi, 2024. "Cryptocurrency and Macroeconomic Dynamics: Case of 10 Asian Economies," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(1), pages 100-126, June.
    14. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    15. Syed Jawad Hussain Shahzad & Elie Bouri & Sang Hoon Kang & Tareq Saeed, 2021. "Regime specific spillover across cryptocurrencies and the role of COVID-19," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
    16. Lahiani, Amine & Mefteh-Wali, Salma & Vasbieva, Dinara G., 2021. "The safe-haven property of precious metal commodities in the COVID-19 era," Resources Policy, Elsevier, vol. 74(C).
    17. Shehzad, Khurram & Bilgili, Faik & Zaman, Umer & Kocak, Emrah & Kuskaya, Sevda, 2021. "Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach," Resources Policy, Elsevier, vol. 73(C).
    18. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    19. Raheem, Ibrahim D., 2021. "COVID-19 pandemic and the safe haven property of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 370-375.
    20. Danai Likitratcharoen & Nopadon Kronprasert & Karawan Wiwattanalamphong & Chakrin Pinmanee, 2021. "The Accuracy of Risk Measurement Models on Bitcoin Market during COVID-19 Pandemic," Risks, MDPI, vol. 9(12), pages 1-16, December.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jecomi:v:12:y:2024:i:12:p:351-:d:1547835. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.