IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v10y2022i1p2156092.html
   My bibliography  Save this article

Is bitcoin a diversifier, hedge or safe haven for traditional and alternate asset classes?

Author

Listed:
  • Monika Chopra
  • Chhavi Mehta

Abstract

Given the skyrocketing returns earned by bitcoin, it has received widespread attention as an investment asset. The shocks experienced by stock and bond markets over time and especially during the COVID-19 pandemic has led to an evaluation of bitcoin as a wealth protection asset, a role that gold has played until now. The current paper tests the hedging and safe haven properties of bitcoin in a broad portfolio of both developed and emerging markets stocks, bonds and real estate over a period of 10 years and during COVID-19 pandemic. Using a DCC-GARCH method, the study finds weak hedge and safe haven benefits of bitcoin. The results of the study establish that there is still a long way to go before bitcoin displays a strong safe haven behavior. However, there is a need for portfolio managers to become more cognizant about bitcoin given its potential to protect their portfolios.

Suggested Citation

  • Monika Chopra & Chhavi Mehta, 2022. "Is bitcoin a diversifier, hedge or safe haven for traditional and alternate asset classes?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2156092-215, December.
    • Handle: RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2156092
    DOI: 10.1080/23322039.2022.2156092
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2022.2156092
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23322039.2022.2156092?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    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:taf:oaefxx:v:10:y:2022:i:1:p:2156092. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

    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.