The Bitcoin Halving Cycle Volatility Dynamics and Safe Haven-Hedge Properties: A MSGARCH Approach

Chan, Jireh Yi-Le; Phoong, Seuk Wai; Phoong, Seuk Yen; Cheng, Wai Khuen; Chen, Yen‐Lin

doi:10.3390/math11030698

Cited by 4 publications

(2 citation statements)

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“…Furthermore, given the distinctiveness of the three stages within the cycle, there could be certain volatility dynamics that are specific to each stage. While the Bitcoin halving cycle may impact Bitcoin's safe haven status, hedge properties, and volatility dynamics, these findings may not hold significance without significant industrial and institutional exposure and interest (Chan et al 2023). It is important to note that zero correlation implies no linear relationship between variables, but not necessarily independence.…”

Section: Introductionmentioning

confidence: 99%

“…The phenomenon of Bitcoin halving has been a subject of extensive research and analysis within the cryptocurrency community, attracting the attention of scholars, economists, and market analysts. Several studies (binance 2024; bitpanda 2024; Chan et al 2023;Chaturved 2024;Coinbase 2024;CoinDCX 2024;Conway 2024;Crawley 2020;Cuthbertson 2024;El Mahdy 2021;ET Spotlight Team 2024;Howcroft and Wilkes 2024;Kuhn 2024;Masters 2019;M'bakob 2024;Meynkhard 2019;Pan et al 2020;Patel 2021;Ramadhani 2022;Samizadeh 2024aSamizadeh , 2024bSchär 2020;Singla et al 2023;Valamontes 2024;Whittaker 2024;ig 2024;Zhao 2024) have explored the implications of halving events on the supply dynamics, price stability, and market sentiment of Bitcoin. Conway (Conway 2024) and many other experts (Coinbase 2024;CoinDCX 2024;Cuthbertson 2024;ET Spotlight Team 2024;Jahanshahloo et al 2023;Meynkhard 2019;Schär 2020) emphasise that the Bitcoin halving is when Bitcoin's mining reward splits in half.…”

Section: Introductionmentioning

confidence: 99%

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An Empirical Examination of Bitcoin’s Halving Effects: Assessing Cryptocurrency Sustainability within the Landscape of Financial Technologies

Fabus,

Kremenova,

Stalmasekova

et al. 2024

JRFM

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This article explores the significance of Bitcoin halving events within the cryptocurrency ecosystem and their impact on market dynamics. While the existing literature addresses the periods before and after Bitcoin halving, as well as financial bubbles, there is an absence of forecasting regarding Bitcoin price in the time after halving. To address this gap and provide predictions of Bitcoin price development, we conducted a rigorous analysis of past halving events in 2012, 2016, and 2020, focusing on Bitcoin price behaviour before and after each occurrence. What interests us is not only the change in the price level of Bitcoins (top and bottom), but also when this turn occurs. Through synthesizing data and trends from previous events, this article aims to uncover patterns and insights that illuminate the impact of Bitcoin halving on market dynamics and sustainability, movement of the price level, the peaks reached, and price troughs. Our approach involved employing methods such as RSI, MACD, and regression analysis. We looked for the relationship between the price of Bitcoin (top and bottom) and the number of days after the halving. We have uncovered a mathematical model, according to which the next peak will be reached 19 months (in November 2025) and the trough 31 months after Bitcoin halving 2024 (in November 2026). Looking towards the future, this study estimates predictions and expectations for the upcoming Bitcoin halving. These discoveries significantly enhance our understanding of Bitcoin’s trajectory and its implications for the finance cryptocurrency market. By offering novel insights into cryptocurrency market dynamics, this study contributes to advancing knowledge in the field and provides valuable information for cryptocurrency markets, investors, and stakeholders.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

An Empirical Examination of Bitcoin’s Halving Effects: Assessing Cryptocurrency Sustainability within the Landscape of Financial Technologies

Fabus,

Kremenova,

Stalmasekova

et al. 2024

JRFM

View full text Add to dashboard Cite

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Testing bitcoin’s safe-haven property and the correlation between Bitcoin, gold, oil, stock markets, and Google trends

Thi Huong Nguyen,

Hong Vu,

Phuong Le

2024

Investment Management and Financial Innovations

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Since its public introduction in 2009, Bitcoin has grown to be the most well-known cryptocurrency worldwide. There is still debate as to whether Bitcoin may be used as a hedge against other assets. The purpose of this study is to investigate the correlation between Bitcoin and conventional commodity markets such as gold, crude oil, stock markets, and investor interest (quantified via Google Trends). In addition, the paper also tests Bitcoin’s safe haven role compared to other commodity markets. The Vector Autoregression model using daily database collected during the period 2013–2021 is employed to investigate the relationship between Bitcoin and traditional commodity markets. The impulse response function is used to analyze Bitcoin price movements against economic shocks from gold, oil prices, and the Dow Jones Industrial Average. In addition, the value-at-risk (VaR) model is used to test Bitcoin’s safe-haven property compared to other conventional commodity markets. The research results show that Bitcoin has negative impacts on gold, crude oil prices, and the stock market. Besides, Bitcoin responds negatively to a sharp decline in investor interest. Furthermore, the results of the VaR model show that Bitcoin is the second most volatile and risky asset, only after the crude oil market, and much riskier than gold. This result proves that Bitcoin cannot yet be considered a safe-haven instrument. These findings have several implications for investors and policymakers to minimize the risks associated with this cryptocurrency. AcknowledgmentThe authors would like to send their sincere thanks to the Reviewers and Editorial Board of the Journal. Their valuable comments and helpful support helped improve the paper’s quality. No funding was granted for this study.

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Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Liu,

Naktnasukanjn,

Tamprasirt

et al. 2023

JRFM

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This paper aims to reveal the asymmetric co-integration relationship and asymmetric causality between Bitcoin and global financial assets, namely gold, crude oil and the US dollar, and make a comparison for their asymmetric relationship before and after the COVID-19 outbreak. Empirical results show that there is no linear co-integration relationship between Bitcoin and global financial assets, but there are nonlinear co-integration relationships. There is an asymmetric co-integration relationship between the rise in Bitcoin prices and the decline in the US Dollar Index (USDX), and there is a nonlinear co-integration relationship between the decline of Bitcoin and the rise and decline in the prices of the three financial assets. To be specific, there is a Granger causality between Bitcoin and crude oil, but not between Bitcoin and gold/US dollar. Before the outbreak of the COVID-19 pandemic, there was an Asymmetric Granger causality between the decline in gold prices and the rise in Bitcoin prices. After the outbreak of the pandemic, there is an asymmetric Granger causality between the decline in crude oil prices and the decline in Bitcoin prices. The COVID-19 epidemic has led to changes in the causality between Bitcoin and global financial assets. However, there is not a linear Granger causality between the US dollar and Bitcoin. Last, the practical implications of the findings are discussed here.

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The Bitcoin Halving Cycle Volatility Dynamics and Safe Haven-Hedge Properties: A MSGARCH Approach

Cited by 4 publications

References 39 publications

An Empirical Examination of Bitcoin’s Halving Effects: Assessing Cryptocurrency Sustainability within the Landscape of Financial Technologies

An Empirical Examination of Bitcoin’s Halving Effects: Assessing Cryptocurrency Sustainability within the Landscape of Financial Technologies

Testing bitcoin’s safe-haven property and the correlation between Bitcoin, gold, oil, stock markets, and Google trends

Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

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