Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2020
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Quarterly Review of Economics and Finance
ISSN
1062-9769
e-ISSN
—
Svazek periodika
77
Číslo periodika v rámci svazku
August
Stát vydavatele periodika
NL - Nizozemsko
Počet stran výsledku
9
Strana od-do
156-164
Kód UT WoS článku
000562001700014
EID výsledku v databázi Scopus
2-s2.0-85083336280