首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach
Institution:1. School of Business, Central South University, Changsha, Hunan 410083, China;2. School of Finance, Shanghai Lixin University of Accounting and Finance, Shanghai 201209, China;1. Holy Spirit University of Kaslik (USEK), USEK Business School, Jounieh, Lebanon;2. Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management, Trondheim, Norway;3. Holy Spirit University of Kaslik (USEK), USEK Business School, Jounieh, Lebanon;4. Montpellier Business School, 2300 Avenue des Moulins, 34080 Montpellier, France;5. Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management, Trondheim, Norway
Abstract:Many studies have discussed hedges and safe havens against stocks, but few studies focus on the hedging/safe-haven performance of assets against the currency market over different time horizons. This paper studies the connectedness, hedging and safe-haven properties of Bitcoin/gold/crude oil/commodities against six currencies across multiple investment horizons, placing a particular focus on the performance of these assets during the recent COVID-19 outbreak. Our findings suggest that the overall dependence between assets and the currency market is the strongest in the short term, and Bitcoin is the least dependent across all investment horizons. The dynamic relationships between the four assets and the currency market vary with timescales. Bitcoin offers better hedging capability in the long term and commodities emerge as the most favorable option for the optimal portfolio of currency over all time horizons. Further analysis shows that assets are better at helping investments reduce risk in the initial stages of the pandemic, and gold is an effective and robust safe haven for currencies.
Keywords:Bitcoin  Currency  Hedge  Safe haven  Time-frequency  COVID-19  C32  G11  G15
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号