Abstract
This paper examines whether Bitcoin is an excellent hedge asset by applying the GARCH model. First, the correlation test finds that bitcoin's returns against the US dollar and gold are not significantly correlated. Also, based on comparisons across events, bitcoin returns perform more neutrally, unlike traditional hedges such as gold, which exhibit a significant negative correlation between performance and hedge in an emergency. In addition, the high volatility of Bitcoin compared to other varieties suggests that investors choosing to invest in Bitcoin will expose to high-risk return volatility. Therefore, bitcoin is more of a speculative asset than a safe haven.
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