Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10395769" target="_blank" >RIV/00216208:11230/20:10395769 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=bx4kSDb77O" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=bx4kSDb77O</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2019.07.023" target="_blank" >10.1016/j.econmod.2019.07.023</a>

Result language
angličtina
Original language name
Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin
Original language description
We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin. Furthermore, we find that the conditional diversification benefits offered by gold to equity investments in the G7 markets are comparatively much higher and more stable than those of Bitcoin, especially in the lower return quantiles, i.e., when both the stock and gold markets are in a bearish state. Implications are further discussed.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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