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.