Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin

By W. Chan, Minh Le, Yan Wendy Wu. Quarterly Review of Economics and Finance, 2019

138 citations recorded by the source corpus.

This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/2c02203f5e686ee62fd8987a7e7776ca0e0ad158

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Gabauer
2. Ioannis Chatziantoniou
3. Nikolaos Antonakakis
4. George Filis
5. Stavros Degiannakis *
6. Rangan Gupta
7. O. Adekoya
8. J. Oliyide

In Finance

1. David Gabauer
2. Ioannis Chatziantoniou
3. Nikolaos Antonakakis
4. George Filis
5. Stavros Degiannakis *

In Information Systems

1. David Gabauer
2. Ioannis Chatziantoniou
3. Nikolaos Antonakakis

Citations in the corpus

• Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019, background): “Chan et al. (2018) illustrate Bitcoin’s hedging usefulness vis-a-vis a number of stock indices; namely, Euro STOXX, Nikkei, Shanghai A-Sharpe, S&P 500, as well as, the TSX Index.”