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Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets
Pusan Natl Univ, South Korea.
Pusan Natl Univ, South Korea.
Athens Univ Econ and Business, Greece.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2019 (English)In: Computational Economics, ISSN 0927-7099, E-ISSN 1572-9974Article in journal (Refereed) Epub ahead of print
Abstract [en]

It is crucial for investors to manage their investment risk. This paper examines the dynamic equicorrelation relationship between Bitcoin and four major investment assets, namely, US stock (Samp;P 500), US dollar, Treasury bonds and gold futures. Our empirical analysis reveals an asymmetric causality between Bitcoin and other asset classes. The results indicate that Bitcoin may be employed as an effective safe haven for investors by providing invaluable information to reduce downside risk, hence strengthening diversification benefits in optimal asset allocation and portfolio risk management.

Place, publisher, year, edition, pages
SPRINGER , 2019.
Keywords [en]
Bitcoin; Downside risk; Portfolio management; Quantile regression
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-162347DOI: 10.1007/s10614-019-09935-6ISI: 000494238900002OAI: oai:DiVA.org:liu-162347DiVA, id: diva2:1374031
Note

Funding Agencies|Ministry of Education of the Republic of Korea; National Research Foundation of KoreaNational Research Foundation of Korea [NRF-2017S1A5B8057488]; Jan Wallander Foundation; Tom Hedelius Foundation

Available from: 2019-11-28 Created: 2019-11-28 Last updated: 2019-11-28

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CiteExportLink to record
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Citation style
  • apa
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Language
  • de-DE
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  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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