Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets

被引：23

作者：

Xu, Lei ^{[1
,2
]}

Kinkyo, Takuji ^{[2
]}

机构：

[1] Okinawa Univ, Dept Law Econ & Management, 555 Kokuba, Naha, Okinawa 9028521, Japan

[2] Kobe Univ, Grad Sch Econ, 2-1 Rokkodai, Nada-Ku, Kobe 6578501, Japan

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2023年 / 85卷

关键词：

Hedging effects; Bitcoin; Gold; Stock markets; Wavelet analysis; SAFE HAVEN PROPERTIES; WAVELET COHERENCE; COVID-19; EVIDENCE; PORTFOLIO; ASSETS; INVESTMENT; TRANSFORMS; SIGNAL; RISK;

D O I：

10.1016/j.intfin.2023.101764

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Geopolitical uncertainty creates huge pressure on financial markets, forcing decision-makers and investors to analyze risks and manage their investment portfolios. Against this background, this study investigates the risk-hedging effects of Bitcoin and Gold in the stock markets of the G7 countries. The research focuses on the period from January 5, 2017 to June 30, 2022, covering a significant portion of the COVID-19 pandemic and the Russo-Ukrainian War. The study utilizes wavelet analysis to analyze the hedging effects in the time-frequency domain, allowing for a more in-depth analysis. The findings show that bitcoin provides stronger short-term risk hedging in the G7 stock markets compared to gold during the COVID-19 and Russo-Ukrainian War periods, making a valuable contribution to the limited existing literature on the topic.

引用

页数：18

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