Is Bitcoin a better safe-haven investment than gold and commodities?
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F19%3A00506911" target="_blank" >RIV/67985556:_____/19:00506911 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/19:10386135
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1057521918306604" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1057521918306604</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.irfa.2019.01.002" target="_blank" >10.1016/j.irfa.2019.01.002</a>
Alternative languages
Result language
angličtina
Original language name
Is Bitcoin a better safe-haven investment than gold and commodities?
Original language description
This paper addresses the timely question of whether Bitcoin exhibits a safe-haven property for stock market investments during extreme market conditions and whether such a property is similar to or different from that of gold and the general commodity index. We propose a new definition of a weak and strong safe-haven within a bivariate cross-quantilogram approach. This definition considers the lowest tails of both the safe-haven asset and the stock index. Our sample period spans from 19 July 2010 until 22 February 2018 and focuses on several stock market indices, including those of the US, China, and other developed and emerging economies. Our main results show that, at best, each of Bitcoin, gold, and the commodity index can be considered as a weak safe-haven asset in some cases. Rolling-window predictability analyses generally confirm those results and reveal that the safe-haven roles of Bitcoin, gold, and commodities are time-varying and differ across the stock market indices under study.
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
50206 - Finance
Result continuities
Project
<a href="/en/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Review of Financial Analysis
ISSN
1057-5219
e-ISSN
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Volume of the periodical
63
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
9
Pages from-to
322-330
UT code for WoS article
000469030800025
EID of the result in the Scopus database
2-s2.0-85059781945