The Bitcoin gold correlation puzzle

Baur, Dirk G.; Hoang, Lai T.

doi:10.1016/j.jbef.2021.100561

Cited by 29 publications

(12 citation statements)

References 6 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Despite similarities between Bitcoin and other finical assets, previous studies show that there is no correlation between Bitcoin and other financial assets such as gold. The recent study by Baur and Hoang (2021) estimates the correlation of Bitcoin and gold as financial assets across different return frequencies, quantiles and across time. They found that there is a near-zero correlation, inconsistent with the claimed similarity.…”

Section: Discussionmentioning

confidence: 99%

A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

Doumenis

Izadi

Dhamdhere

et al. 2021

Risks

View full text Add to dashboard Cite

The purpose of this paper is to investigate the viability as compared with other financial assets of cryptocurrencies as a currency or as an asset investment. This paper also aims to see which macro variable relates more to the price of cryptocurrencies, especially Bitcoin. Since the whole concept of cryptocurrencies is quite novel, an attempt has been made to briefly explain the underlying blockchain technology that forms the bedrock of cryptocurrencies. In this study, we use secondary data, i.e., the price history of Bitcoin from September 2014 to September 2021 for the last seven years, captured from trading exchanges. We predicted monthly returns of Bitcoin with that of Standard & Poor’s 500 Index (S&P 500), gold, and Treasury Bonds. Our findings show that Bitcoin has very high volatility compared to S&P 500, Gold and Treasury Bonds. Also, our findings show that there is a positive correlation between Bitcoin’s price volatility and the other three financial assets before and during COVID-19. Hence, Bitcoin is acting more as a speculative asset rather than a steady store of value. This can be drawn from the comparison with the debt market i.e., a Treasury Bond that invests in long-dated (30 years) US treasuries with which Bitcoin shows no relationship. The findings of this study could help with understanding the future of Bitcoin. This has important implications for Bitcoin investors. The current study contributes to the extant literature by providing empirical evidence on long-term social sustainability vis-à-vis supply chain traceability.

show abstract

Section: Discussionmentioning

confidence: 99%

A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

Doumenis

Izadi

Dhamdhere

et al. 2021

Risks

View full text Add to dashboard Cite

show abstract

“…Although the long-term trajectory of Bitcoin as an asset class remains to be seen, presently, it shows a strong correlation with gold (Baur and Hoang, 2021;Klein et al, 2021). Extant literature discusses the correlation between the two asset classes (Baur and Hoang, 2021;Jareño et al, 2022). Klein et al (2021) conclude that Bitcoin and Gold exhibit fundamentally different properties as assets and linkages to equity markets and further confirm that Bitcoin does not reflect any distinctive properties of Gold, other than the asymmetric response in variance.…”

mentioning

confidence: 82%

“…, 2021). Extant literature discusses the correlation between the two asset classes (Baur and Hoang, 2021; Jareño et al. , 2022).…”

Section: Introductionmentioning

confidence: 99%

“…Consequently, Bitcoin brings more diversification and hedging opportunities for investors. Although the long-term trajectory of Bitcoin as an asset class remains to be seen, presently, it shows a strong correlation with gold (Baur and Hoang, 2021;Klein et al, 2021). Extant literature discusses the correlation between the two asset classes (Baur and Hoang, 2021;Jareño et al, 2022).…”

mentioning

confidence: 99%

See 1 more Smart Citation

Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets

Rao

Gupta

Sharma

et al. 2022

IJMF

View full text Add to dashboard Cite

PurposeThe purpose of the present study is to contribute to the existing literature by examining the nexus and the connectedness between classes S&P Green Bond Index, S&P GSCI Crude Oil Index, S&P GSCI Gold, MSCI Emerging Markets Index, MSCI World Index and Bitcoin, during the pre-and post-Covid period beginning from August 2011 to July 2021 (10 years).Design/methodology/approachThe study employs time-varying parameter vector autoregression and Quantile regression methods to understand the impact of events on traditional and upcoming asset classes. To further understand the connectedness of assets under consideration, the study used Geo-Political Risk Index (GPR) and Global Economic Policy and Uncertainty index (GPEU).FindingsFindings show that these markets are strongly linked, which will only expand in the post-pandemic future. Before the pandemic, the MSCI World and Emerging Markets indices contributed the most shocks to the remaining market variables. Green bond index shows a greater correlation and shock transmission with gold. Bitcoin can no longer be used as a good hedging instrument, validating the fact that the 21st-century technology assets. The results further opine that under extreme economic consequences with high GPR and GPEU, even gold cannot be considered a safe investment asset.Originality/valueFinancial markets and the players who administer and communicate their investment logics are heavily reliant on conventional asset classes such as oil, gas, coal, nuclear and allied groupings, but these emerging asset classes are attempting to diversify.

show abstract

“…With the advent of block-chain technology, the cryptocurrency market, mainly represented by Bitcoin, has been growing rapidly over the past few years, with an 80-fold increase in market capitalization in the last decade [1]. As Bitcoin is a decentralized currency, independent of government involvement has a faster rate of appreciation in terms of value, it has become a similar form of wealth storage to gold that has gained attention.…”

Section: Introductionmentioning

confidence: 99%

A novel trading strategy based on BiLSTM prediction model

Xu¹,

Chen²,

Qiu³

2022

BCPBM

View full text Add to dashboard Cite

In order to assist traders with scientiﬁc transaction strategy, this paper constructs a decision model including a prediction model and a trading model. Our predicting model is based on a BiLSTM (Bi-direction Long Short-Term Memory) neural network, and two linear layers trained by previous known data, which obtains a high accurate prediction of price. For the trading model, we construct it with several impact and quantitative artiﬁcial-selected-factors including market potential, deviation rate, risk score, etc. To use the model, we ﬁrstly uses previous known data to train the deep neural network and utilize it to make future predictions, the results of which is then imported into our trading model for decision making and better conﬁgure the portfolio. Generally speaking, our whole decision system achieves eﬀective prediction of price, enables timely risk assessment, and makes scientiﬁc decisions by considering these factors together.

show abstract

The Bitcoin gold correlation puzzle

Cited by 29 publications

References 6 publications

A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets

A novel trading strategy based on BiLSTM prediction model

Contact Info

Product

Resources

About