Cryptocurrencies as hedges and safe-havens for US equity sectors

By Elie Bouri, Syed Jawad Hussain Shahzad, David Roubaud. 2020

176 citations recorded by the source corpus.

We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggerate US equity index and selected sectors. As for Ethereum, Dash and Nem, they are hedges for few equity sectors. Our findings help investors in improving their ability to offset equity losses with new cryptocurrencies.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/5dc43ec36ee33a88493b67e3362f11b963246a3d

How researchers see this paper

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In Economics and Econometrics

1. Sowmya Subramaniam
2. Anamika
3. Madhumita Chakraborty

In Finance

1. Sowmya Subramaniam
2. Anamika
3. Madhumita Chakraborty

In Information Systems

1. Sowmya Subramaniam
2. Anamika
3. Madhumita Chakraborty

Citations in the corpus

• Does Sentiment Impact Cryptocurrency? (2021, background): “Bouri, Hussain Shahzad, and Roubaud (2020) showed that cryptocurrency acts as a hedge against the Equity market.”