Is Bitcoin a better safe-haven investment than gold and commodities?

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/19:10386135

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Is Bitcoin a better safe-haven investment than gold and commodities?

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Is Bitcoin a better safe-haven investment than gold and commodities?

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

International Review of Financial Analysis

ISSN

1057-5219

e-ISSN

—

Svazek periodika

63

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

9

Strana od-do

322-330

Kód UT WoS článku

000469030800025

EID výsledku v databázi Scopus

2-s2.0-85059781945