Comparing gold's and Bitcoin's safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

被引：0

作者：

Syuhada, Khreshna ^{[1
]}

Suprijanto, Djoko ^{[1
]}

Hakim, Arief ^{[1
]}

机构：

[1] Inst Teknol Bandung, Jalan Ganesa 10, Bandung 40132, Indonesia

来源：

FINANCE RESEARCH LETTERS | 2022年 / 46卷

关键词：

Bitcoin; COVID-19; Gold; Downside risk; Safe haven; Vine copula;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.

引用

页数：9