Safe haven,hedge and diversification for G7 stock markets: Gold versus bitcoin |
| |
| Affiliation: | 1. University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, D-45117 Essen, Germany;2. Kiel Institute for the World Economy, Hindenburgufer 66, D-24105 Kiel, Germany;3. University of Bremen, Department of Business Administration, Chair for Applied Statistics and Empirical Economics, D-28359 Bremen, Germany;4. University of Duisburg-Essen, Department of Economics, Chair for Econometrics, D-45117 Essen, Germany;5. FOM Hochschule für Oekonomie & Management, University of Applied Sciences, Herkulesstr. 32, D-45127 Essen, Germany;1. IRMAPE, ESC Pau Business School, France;2. CATT, University of Pau, France;3. Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia;4. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;5. Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States;6. Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France;1. IPAG Business School, France;2. University of Ottawa, Canada;3. ISC Paris Business School, France;4. EDC Paris Business School, France |
| |
| Abstract: | We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin. Furthermore, we find that the conditional diversification benefits offered by gold to equity investments in the G7 markets are comparatively much higher and more stable than those of Bitcoin, especially in the lower return quantiles, i.e., when both the stock and gold markets are in a bearish state. Implications are further discussed. |
| |
| Keywords: | Gold Bitcoin G7 stock indices Safe haven Hedging Conditional diversification benefits C52 G11 G17 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
