Abstract
Given the skyrocketing returns earned by bitcoin, it has received widespread attention as an investment asset. The shocks experienced by stock and bond markets over time and especially during the COVID-19 pandemic has led to an evaluation of bitcoin as a wealth protection asset, a role that gold has played until now. The current paper tests the hedging and safe haven properties of bitcoin in a broad portfolio of both developed and emerging markets stocks, bonds and real estate over a period of 10 years and during COVID-19 pandemic. Using a DCC-GARCH method, the study finds weak hedge and safe haven benefits of bitcoin. The results of the study establish that there is still a long way to go before bitcoin displays a strong safe haven behavior. However, there is a need for portfolio managers to become more cognizant about bitcoin given its potential to protect their portfolios.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
