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On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?

Author

Listed:
  • Elie Bouri

    (Holy-Spirit University of Kaslik [Jounieh] / Université Saint-Esprit de Kaslik)

  • Peter Molnár

    (NTNU - Norwegian University of Science and Technology [Trondheim] - NTNU - Norwegian University of Science and Technology = Norges Teknisk-Naturvitenskapelige Universitet = Norjan teknis-luonnontieteellinen yliopisto)

  • Georges Azzi

    (Holy-Spirit University of Kaslik [Jounieh] / Université Saint-Esprit de Kaslik)

  • 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)

  • Lars Ivar Hagfors

    (NTNU - Norwegian University of Science and Technology [Trondheim] - NTNU - Norwegian University of Science and Technology = Norges Teknisk-Naturvitenskapelige Universitet = Norjan teknis-luonnontieteellinen yliopisto)

Abstract

This paper uses a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index. Daily and weekly data span from July 2011 to December 2015. Overall, the empirical results indicate that Bitcoin is a poor hedge and is suitable for diversification purposes only. However, Bitcoin can only serve as a strong safe haven against weekly extreme down movements in Asian stocks. We also show that Bitcoin hedging and safe haven properties vary between horizons.

Suggested Citation

  • Elie Bouri & Peter Molnár & Georges Azzi & David Roubaud & Lars Ivar Hagfors, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Post-Print hal-02000697, HAL.
    • Handle: RePEc:hal:journl:hal-02000697
    DOI: 10.1016/j.frl.2016.09.025
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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