Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective

By Pengfei Wang, Wei Zhang, Xiao Li, Dehua Shen. Finance Research Letters, 2019

151 citations recorded by the source corpus.

Abstract Current literature on the hedge or safe haven property of cryptocurrency focuses exclusively on a few number of the cryptocurrency. This paper gives a detailed observation by including 973 forms of cryptocurrency and 30 international indices from a dynamic perspective. The empirical results mainly show that: (1) generally, cryptocurrency is a safe haven but not a hedge for most of the international indices; (2) the safe haven property is more pronounced in subgroups with larger market capitalization and higher liquidity; and (3) the safe haven property is more pronounced in developed markets.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/8ad316c0e325010ee7b20c3918c5f6610ae6849e