Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach

Abstract

The novel coronavirus (COVID-19) has tremendously oscillated the global financial markets. Consequently, investors feel pressured to find safe-haven investments during the pandemic crisis. Numerous studies have evaluated bitcoin's safe-haven properties during the COVID-19; however, the present study considered gold as a potential safe-haven for investors of renowned stock markets of Asia, Europe, and the US. The present investigation computed the ratio of gold to bitcoin (Gold_Bitcoin) and compared the safe-haven properties of gold in contrast to bitcoin. The present study analysed the Morlet Wavelet approach and found that most of the time during the COVID-19, gold investments proved to be more beneficial than bitcoin. Remarkably, the findings highlighted that the Gold_Bitcoin ratio increased in higher and lower frequencies combined with CAC40. In the long run, the return on investments in gold increased in contrast to bitcoin returns pooled with DAX30. Also, the Gold_Bitcoin ratio of the US stock market increased during the one-week and one-month cycles of January and August. Likewise, the Hang Seng Index caused the Gold_Bitcoin ratio to rise at a much higher frequency (i.e., the second half of January, the first half of February and April, and the first half of June and August), whereas IBEX35 surged Gold_Bitcoin at a lower frequency (i.e., during January, February, and August). In higher frequency bands, LSE increased the Gold_Bitcoin ratio (i.e., in February and March); nevertheless, Gold_Bitcoin showed a positive connection with FTSEMIB in the one-to-two month's frequency band (i.e., throughout January, February, and August). Interestingly, the returns on the Gold_Bitcoin ratio increased in the SSEC stock market in the high-frequency band (i.e., during March, May, and July 2020).

The resilience of green firms in the twirl of COVID‐19: Evidence from S&P500 Carbon Efficiency Index with a Fourier approach

“…This study showed that the number of cases, social distancing and other lockdown practices hurt stock markets and economic activities. Moreover, other papers in the extant literature confirmed similar results (Liu et al, 2020 ; Shehzad, Bilgili, et al, 2021 ; Zaremba et al, 2021 ; D. Zhang, Hu, & Ji, 2020 ).…”

Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold

“… Śmiech and Papież (2017) argue that gold is a feeble hedge for stocks. Similar results are reported by Shehzad et al (2021a) .…”

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

“…For example, Long et al (2021) compare the safe-haven properties of Bitcoin and gold during the COVID-19, but they apply the NARDL model only considering the static aspect. Some scholars consider the dynamic research based on the dynamic conditional correlation model ( Chemkha et al, 2021 ) or wavelet approach ( Shehzad, Bilgili, Zaman, et al, 2021 ), but they focus on the hedge for major stock market. They do not take into account the impact on the oil market.…”