Assessing Bitcoin and Gold as Safe Havens Amid Global Uncertainties: A Rolling Window DCC-GARCH Analysis

被引：0

作者：

Kumar, Anoop S. ^{[1
]}

Mohan, Meera ^{[2
]}

Niveditha, P. S. ^{[3
]}

机构：

[1] Gulati Inst Finance & Taxat, Thiruvananthapuram, Kerala, India

[2] CRISIL, Mumbai, Maharashtra, India

[3] Cochin Univ Sci & Technol CUSAT, Gulati Inst Finance & Taxat, Dept Social Sci, Thiruvananthapuram 695017, Kerala, India

来源：

NMIMS MANAGEMENT REVIEW | 2025年 / 33卷 / 01期

关键词：

Gold; Bitcoin; safe haven; COVID-19; Ukraine War; STOCK-MARKET; HEDGE; RETURNS; PRICE; RISK;

D O I：

10.1177/09711023251322578

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

We examine the roles of Gold and Bitcoin as a hedge, a safe haven, and a diversifier against the coronavirus disease 2019 (COVID-19) pandemic and the Ukraine War. Using a rolling window estimation of the dynamic conditional correlation (DCC)-based regression, we present a novel approach to examine the time-varying safe haven, hedge, and diversifier properties of Gold and Bitcoin for equities portfolios. This article uses daily returns of Gold, Bitcoin, S&P500, CAC 40, and NSE 50 from January 3, 2018, to October 15, 2022. Our results show that Gold is a better safe haven than the two, while Bitcoin exhibits weak properties as safe haven. Bitcoin can, however, be used as a diversifier and hedge. This study offers policy suggestions to investors to diversify their holdings during uncertain times.JEL Codes: G1, G11, G12

引用

页码：7 / 17

页数：11

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