Is Bitcoin a better safe-haven investment than gold and commodities?
By Syed Jawad Hussain Shahzad, Elie Bouri, David Roubaud, Ladislav Kristoufek, Brian M. Lucey. International Review of Financial Analysis, 2019
638 citations recorded by the source corpus.
Abstract This paper addresses the timely question of whether Bitcoin exhibits a safe-haven property for stock market investments during extreme market conditions and whether such a property is similar to or different from that of gold and the general commodity index. We propose a new definition of a weak and strong safe-haven within a bivariate cross-quantilogram approach. This definition considers the lowest tails of both the safe-haven asset and the stock index. Our sample period spans from 19 July 2010 until 22 February 2018 and focuses on several stock market indices, including those of the US, China, and other developed and emerging economies. Our main results show that, at best, each of Bitcoin, gold, and the commodity index can be considered as a weak safe-haven asset in some cases. Rolling-window predictability analyses generally confirm those results and reveal that the safe-haven roles of Bitcoin, gold, and commodities are time-varying and differ across the stock market indices under study.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/421f93e54b5fcf7e6c92966a7c2e82ab8d1fa4b0
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
- Hanxiong Zhang
- Richard J. McGee
- Thomas Conlon
- Andrew Urquhart
- Paraskevi Katsiampa
- L. Yarovaya
- Pengfei Wang
- Dehua Shen
In Information Systems
- Hanxiong Zhang
- Thomas Conlon
- Richard J. McGee
- Andrew Urquhart
- Paraskevi Katsiampa
- L. Yarovaya
- Pengfei Wang
- Shaen Corbet
Citations in the corpus
- Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020, positive): “In recent years, the growing popularity of cryptocurrencies has inspired numerous studies of their hedging and safe haven properties (Urquhart and Zhang, 2019; Smales, 2019; Shahzad et al., 2019; Corbet et al., 2018b; Bouri et al., 2017).”
- Is Bitcoin a hedge or safe haven for currencies? An intraday analysis (2019, background): “…et al (2018c) suggest that Bitcoin has a role in an investor’s portfolio, although Bitcoin may contain its own idiosyncratic risks that are difficult to hedge against, while Shahzad et al (2019) show that Bitcoin can be a safe haven, although its role is time-varying and differ across markets.”