Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10410514" target="_blank" >RIV/00216208:11230/20:10410514 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=9htgJqIFQK" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=9htgJqIFQK</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.qref.2020.03.004" target="_blank" >10.1016/j.qref.2020.03.004</a>
Alternative languages
Result language
angličtina
Original language name
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
Original language description
In this study, we compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010-22 February 2018. We apply the wavelet coherency approach and show that the overall dependence between Bitcoin/gold/commodities and the stock markets is not very strong at various time scales, with Bitcoin being the least dependent. We study the diversification potential at the tail of the return distribution through wavelet value-at-risk (VaR) and reveal that the degree of co-movement between gold and stock returns affects the portfolio's VaR level. Specifically, the benefits of diversification vary in the time-frequency space, with Bitcoin exhibiting a superiority over both gold and commodities. Our findings are useful for investors and financial advisors searching for the best asset among Bitcoin, gold, and commodities to hedge extreme negative movements in stock market indices, while accounting for the heterogeneity in the horizons of investors.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Quarterly Review of Economics and Finance
ISSN
1062-9769
e-ISSN
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Volume of the periodical
77
Issue of the periodical within the volume
August
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
9
Pages from-to
156-164
UT code for WoS article
000562001700014
EID of the result in the Scopus database
2-s2.0-85083336280