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.
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