Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty

Gold, bonds, and epidemics: A safe haven study

“… 1 A related but separate group of studies in the area anaylzes safe haven properties of cryptocurrencies (see e.g. Bouri et al, 2020, Hasan et al, 2022 , Melki and Nefti, 2022). However, we do not consider cryptocurrencies as we analyze a broad sample of epidemics that spans long before cryptocurrencies have been invented.…”

Economic Policy Uncertainty and Cryptocurrency Market as a Risk Management Avenue: A Systematic Review

“…In current strand, several studies concluded that cryptocurrencies act as hedge and safe haven (Bouri et al 2017b(Bouri et al , 2017c(Bouri et al , 2017d(Bouri et al , 2020aBouri and Gupta 2019;Chen et al 2021;Cheng and Yen 2020;Colon et al 2021;Fang et al 2020;Fasanya et al 2021;Jiang et al 2021;Kalyvas et al 2020;Koumba et al 2020;Matkovskyy et al 2020 Rubbaniy et al 2021;Wu et al 2019Wu et al , 2021Cheng and Yen 2020;Yen and Cheng 2021). In contrast, cryptocurrencies do not act as hedge or safe-haven for economic policy uncertainty (Cheema et al 2020;Fasanya et al 2021;Hasan et al 2021;Jiang et al 2021;Lucey et al 2021;Wu et al 2019). Moreover, economic policy uncertainty predicts the cryptocurrency market volatility and returns (Al Mamun et al 2020;Bouri et al 2018;Demir et al 2018;Fang et al 2019;Foglia and Dai 2021;Papadamou et al 2021;Qin et al 2021;Shaikh 2020).…”

“…Therefore, scholars should use cryptocurrency policy uncertainty for further investigation. In 2021 (Hasan et al 2021) investigated the impact of cryptocurrency policy uncertainty on Bitcoin and gold using OLS, Quantile regression, and Quantile on Quantile regression. They found that Bitcoin is not a hedge nor a safe haven, but Gold is a traditional hedge.…”

“…While talking about the global financial crisis, the Eurozone serial crisis, and other events of higher uncertainty (Baker et al 2016) argued that fears and worries about policy uncertainty intensified in awakening a sharp economic downfall between 2008-2009. Particularly, in higher periods of economic uncertainty, either investors restrict their investments, wait for current conditions to be settled down, or look to find suitable strategies to mitigate uncertainty around the globe. Interestingly, the cryptocurrency market appeared as a risk management tool for the domestic and international investors of stock and commodity markets around the globe, particularly during the period of higher uncertain events (Akhtaruzzaman et al 2021a(Akhtaruzzaman et al , 2021bAl Mamun et al 2020;Ariefianto 2020;Bouri et al 2017aBouri et al , 2017bBouri et al , 2020bBouri et al , 2017cBouri et al , 2017dBouri et al , 2018Bouri and Gupta 2019;Cheema et al 2020;Chen et al 2021;Colon et al 2021;Demir et al 2018;Fang et al 2020;Fasanya et al 2021;Haq et al 2021;Hasan et al 2021;Jiang et al 2021;Kalyvas et al 2020;Nguyen 2020;Koumba et al 2020;Lucey et al 2021;Matkovskyy et al 2020;Mokni et al 2020;Nie et al 2020;Papadamou et al 2021;Park and Chai 2020;Paule-Vianez et al 2020;Wang et al 2019b;Qin et al 2021;Raheem 2021;Rubbaniy et al 2021;Wang ...…”

Exploring the Driving Forces of Stock-Cryptocurrency Comovements during COVID-19 Pandemic: An Analysis Using Wavelet Coherence and Seemingly Unrelated Regression

“…Stock markets worldwide plummeted even before the World Health Organization (WHO) declared the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) a pandemic on 11 March 2020. Business and financial risks skyrocket, derailing capital values directly and indirectly invested in companies. Financial markets experience unprecedented volatilities [1], forcing loss-averse investors to seek refuge in alternative investments with hedge and safe haven properties, including the cryptocurrencies [1][2][3][4]. As illustrated in Figure A1 (Appendix A), asset prices were negatively affected by the pandemic announcement.…”