Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions

By Elie Bouri, Rangan Gupta, Aviral Kumar Tiwari, David Roubaud. 2016

710 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/c39a5ab390775f9e58b7ed956e74238b6eb0c814

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Citations in the corpus

Spillovers between Bitcoin and other assets during bear and bull markets (2018, methodology): “Accordingly, it often is considered an aspect of an alternative ‘peer-to-peer’ economy (Bouri et al., 2017b), which makes it useful as an alternative investment during economic and financial crises(2). However, the literature disagrees on whether Bitcoin fulfils the criteria of a currency or commodi”
Testing for asymmetric nonlinear short- and long-run relationships between bitcoin, aggregate commodity and gold prices (2018, background): “Ober et al. (2013) stress the important role of user anonymity in the Bitcoin market. The usefulness of Bitcoin as an investment, and its potential hedging and safe-haven roles have been the subject of several studies. Baur et al. (2015) show that Bitcoin is an investment, and highlight its role as ”
Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? (2019, methodology): “…prices (Hayes, 2017), user anonymity (Ober et al., 2013), computer programming enthusiasts (Yelowitz and Wilson, 2015), technology (Li and Wang, 2017), cyber-attacks (Böhme et al., 2015), increased stock market uncertainty (Bouri et al., 2017b), and economic policy uncertainty (Demir et al., 2018).”
Is Bitcoin a hedge or safe haven for currencies? An intraday analysis (2019, neutral): “Bouri et al (2017a) employ a quantile regression approach to analyse the relationship between gold and global uncertainty and show that Bitcoin can hedge against global uncertainty at short investment horizons and in bull regimes only.”