On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?

被引：826

作者：

Bouri, Elie ^{[1
]}

Molnar, Peter ^{[2
]}

Azzi, Georges ^{[1
]}

Roubaud, David ^{[3
]}

Hagfors, Lars Ivar ^{[2
]}

机构：

[1] Holy Spirit Univ Kaslik USEK, USEK Business Sch, Jounieh, Lebanon

[2] Norwegian Univ Sci & Technol, Dept Ind Econ & Technol Management, Trondheim, Norway

[3] Montpellier Business Sch, 2300 Ave Moulins, F-34080 Montpellier, France

来源：

FINANCE RESEARCH LETTERS | 2017年 / 20卷

关键词：

Bitcoin; Cryptocurrency; Diversifier; Hedge; Safe haven; DCC; ECONOMICS;

D O I：

10.1016/j.fri.2016.09.025

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper uses a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index. Daily and weekly data span from July 2011 to December 2015. Overall, the empirical results indicate that Bitcoin is a poor hedge and is suitable for diversification purposes only. However, Bitcoin can only serve as a strong safe haven against weekly extreme down movements in Asian stocks. We also show that Bitcoin hedging and safe haven properties vary between horizons. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：192 / 198

页数：7

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