The Bitcoin gold correlation puzzle

被引：26

作者：

Baur, Dirk G. ^{[1
]}

Hoang, Lai ^{[1
]}

机构：

[1] Univ Western Australia, Business Sch, Crawley, WA, Australia

来源：

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE | 2021年 / 32卷

关键词：

Bitcoin; Gold; Correlation; Similarity; Narrative; Substitution; Catching up; DOLLAR;

D O I：

10.1016/j.jbef.2021.100561

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Bitcoin is regularly referred to as new gold, digital gold or gold 2.0. If Bitcoin is indeed gold-like the correlation of Bitcoin and gold returns should be positive. We estimate the correlation of the two assets across time, across different return frequencies and across quantiles and find a near-zero correlation inconsistent with the claimed similarity. We offer two explanations for this puzzle: either the similarity is only a narrative and not accepted by investors or there are other forces at play that depress the true correlation. Such forces could be a substitution effect, investors sell gold and buy Bitcoin, and a catching up effect, investors buy Bitcoin to catch up with the market weight of gold. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：7

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