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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economic Modelling

ISSN

0264-9993

e-ISSN

—

Svazek periodika

87

Číslo periodika v rámci svazku

May

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

212-224

Kód UT WoS článku

000526109200016

EID výsledku v databázi Scopus

2-s2.0-85069867700