Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether

Będowska-Sójka, Barbara; Kliber, Agata

doi:10.1016/j.najef.2021.101390

Cited by 50 publications

(22 citation statements)

References 36 publications

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“…It is worth noting that our results for gold are specific to the COVID-19 crisis because gold has always been considered a universal safe haven ( Baur and Lucey, 2010 , Dutta et al, 2020 ). This result agrees with Bȩdowska-Sójka and Kliber (2021) , who found that the COVID-19 pandemic made gold lose its safe haven property against US and European indices’ risks. One possible explanation for this conflicting finding is that, in contrast to previous turmoil, COVID-19 deeply affected the mining industry by restricting travel across countries causing stock, gold, and silver markets to move in the same path.…”

Section: Resultssupporting

confidence: 92%

Contagion and portfolio management in times of COVID-19

Belhassine

Karamti

2021

Economic Analysis and Policy

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This paper aims to investigate the COVID-19 pandemic impacts on the interconnectedness between the Chinese stock market and major financial and commodity markets—gold, silver, Bitcoin, WTI, S&P 500, and Euro STOXX 50—and analyze the portfolio design implications. Using daily data from 2018 to 2021, we first apply the wavelet power spectrum (WPS) to visualize volatility shifts. In contrast to previous research, we empirically identify the precise COVID-19 outbreak dates for each market using the Perron (1997) breakpoint test. Finally, we employ the bivariate DCC-GARCH model to analyze the connectedness between markets. The findings reveal that the COVID-19 pandemic caused volatility shifts of different intensities for all of the studied markets. Moreover, each return series exhibits one break date, which is specific to each market and corresponds to a distinct COVID-19-related event. Correlations, hedge ratios, and optimal portfolio weights changed significantly after the COVID-19 outbreak. There is evidence of contagion effects between the Chinese stock market and S&P 500, Euro STOXX 50, gold, and silver. Interestingly, the latter two assets lost their safe haven property with SSE. However, WTI and Bitcoin act as safe havens against SSE risks.

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Section: Resultssupporting

confidence: 92%

Contagion and portfolio management in times of COVID-19

Belhassine

Karamti

2021

Economic Analysis and Policy

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“…Moreover, gold is regarded as the most effective hedge for the stock indices of France, Germany, Italy, Japan, the United Kingdom, the United States and the MSCI G7 index, whereas Bitcoin is an effective hedge for the Canadian stock index. Będowska-Sójka and Kliber (2021) compare the safe-haven properties of gold, Bitcoin and Ether. They find that only gold serves as a strong safe haven against the stock market indices.…”

Section: Literature and Theoretical Backgroundmentioning

confidence: 99%

“… Conlon and McGee (2020) S&P 500 index Value at Risk model Bitcoin does not act as a safe haven during the COVID-19 bear market. Mariana et al (2021) S&P 500 index DCC-GARCH Bitcoin exhibits short-term safe-haven characteristics for stocks Będowska-Sójka and Kliber (2021) Four developed indices DCC-MSV approach Bitcoin acts as a weak safe haven against the stock market indices. …”

Section: Literature and Theoretical Backgroundmentioning

confidence: 99%

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

2021

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This paper applies the DCC-FIGARCH model to investigate the role of Bitcoin as a hedge and safe haven for Islamic stock markets in comparison with gold. We use daily data for the period January 2010–May 2020, which covers the recent COVID-19 pandemic. Empirical results show that the dynamic correlation between Bitcoin and Islamic stock markets is low and usually negative during major economic and political events suggesting that Bitcoin qualifies as a safe haven against Islamic stock markets downturns. Extending our analysis to portfolio management, findings reveal that the diversification benefits of Bitcoin are most times stable and increase significantly during turbulent periods. Thereby, adding Bitcoin in a portfolio of Islamic stocks reduce the risk of portfolio. Finally, as regards the COVID-19 outbreak period, we find that the hedging strategy involving Bitcoin leads to a higher cost during the crisis. These results provide substantial recommendations for Islamic investors and portfolio managers.

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“…Instead, gold and palladium outperform the other candidates as safe havens in small-sized equity markets. Along the same lines, Będowska-Sójka and Kliber (2021) found that cryptocurrencies are at best weak safe havens against major stock indices and gold is a much stronger safe haven. But during the pandemic period, even gold’s safe-haven property seemed to evaporate.…”

Section: Literature Reviewmentioning

confidence: 85%

Price efficiency and safe-haven property of Bitcoin in relation to stocks in the pandemic era

Diniz-Maganini

Rasheed

2021

SEF

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Purpose When investors experience extreme uncertainty, they seek “safe havens” to reduce their risk, to limit their losses and to protect the value of their portfolios. The purpose of this paper is to examine the safe-haven properties of Bitcoin compared to the stock market. Design/methodology/approach Based on intraday data, this study compares the price efficiencies of Bitcoin and Morgan Stanley Capital Index (MSCI) using Multifractal Detrended Fluctuation Analysis for the second half of 2020. This study then evaluates Bitcoin’s safe-haven property using Detrended Partial-Cross-Correlation Analysis (DPCCA). Findings This study finds that the price efficiency of Bitcoin is lower than that of MSCI. Further, Bitcoin was not a safe haven at any time for the MSCI index. The net cross-correlations between Bitcoin and MSCI are weak and they vary at different time scales. Research limitations/implications The behavior of market prices varies over time. Therefore, it is important to replicate this study for other time periods. Social implications The paper sheds light on the price behavior of Bitcoin during a period of instability. The results suggest that the construction of portfolios should differ based on the time horizons of the investors. Originality/value The authors compare Bitcoin against a global equity index instead of a specific country index or commodity. They also demonstrate the applicability of DPCCA in finance research.

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Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether

Cited by 50 publications

References 36 publications

Contagion and portfolio management in times of COVID-19

Contagion and portfolio management in times of COVID-19

Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold

Price efficiency and safe-haven property of Bitcoin in relation to stocks in the pandemic era

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