Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis

被引：74

作者：

Huang, Yingying ^{[1
]}

Duan, Kun ^{[2
]}

Mishra, Tapas ^{[3
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150000, Peoples R China

[2] Huazhong Univ Sci & Technol, Sch Econ, Wuhan 430074, Peoples R China

[3] Univ Southampton, Southampton Business Sch, Southampton SO17 1BJ, Hants, England

来源：

FINANCE RESEARCH LETTERS | 2021年 / 43卷

关键词：

Bayesian panel VAR method; Bitcoin; Safe Haven; Diversifier; COVID-19; SAFE-HAVEN; HEDGE; GOLD; UNCERTAINTY; CHOICE;

D O I：

10.1016/j.frl.2021.102016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine whether Bitcoin can act as a safe haven against adverse movements of stock and bond assets in five major economies during the COVID-19 bear market. The empirical analyses are conducted using a Bayesian panel VAR method that captures potential interaction and heterogeneity across country/region-segmented markets. We find that Bitcoin in each target economy contributes to diversification benefits and/or risk mitigation both within and across borders, while its sheltering role against traditional assets varies among different economies. Further, we show that the COVID-19 outbreak has altered the role of Bitcoin in various segmented markets except for the US.

引用

页数：11

共 26 条

[1] Bitcoin: Medium of exchange or speculative assets? [J].

Baur, Dirk G. ;

Hong, KiHoon ;

Lee, Adrian D. .

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2018, 54 :177-189

[2] Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold [J].

Baur, Dirk G. ;

Lucey, Brian M. .

FINANCIAL REVIEW, 2010, 45 (02) :217-229

[3] Optimal portfolio choice under loss aversion [J].

Berkelaar, AB ;

Kouwenberg, R ;

Post, T .

REVIEW OF ECONOMICS AND STATISTICS, 2004, 86 (04) :973-987

[4] Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions [J].

Bouri, Elie ;

Gupta, Rangan ;

Tiwari, Aviral Kumar ;

Roubaud, David .

FINANCE RESEARCH LETTERS, 2017, 23 :87-95

[5] On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? [J].

Bouri, Elie ;

Molnar, Peter ;

Azzi, Georges ;

Roubaud, David ;

Hagfors, Lars Ivar .

FINANCE RESEARCH LETTERS, 2017, 20 :192-198

[6] Virtual currency, tangible return: Portfolio diversification with bitcoin [J].

Brière M. ;

Oosterlinck K. ;

Szafarz A. .

Journal of Asset Management, 2015, 16 (6) :365-373

[7] ESTIMATING MULTICOUNTRY VAR MODELS [J].

Canova, Fabio ;

Ciccarelli, Matteo .

INTERNATIONAL ECONOMIC REVIEW, 2009, 50 (03) :929-959

[8] Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic [J].

Conlon, Thomas ;

Corbet, Shaen ;

McGee, Richard J. .

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 54

[9] Safe haven or risky hazard? Bitcoin during the Covid-19 bear market [J].

Conlon, Thomas ;

McGee, Richard .

FINANCE RESEARCH LETTERS, 2020, 35

[10] Is gold a hedge against inflation? A wavelet time-scale perspective [J].

Conlon T. ;

Lucey B.M. ;

Uddin G.S. .

Review of Quantitative Finance and Accounting, 2018, 51 (2) :317-345

← 1 2 3 →