On the safe-haven and hedging properties of Bitcoin: new evidence from COVID-19 pandemic
Author | Abdelmalek, Wafa |
Author | Benlagha, Noureddine |
Available date | 2023-01-18T08:39:00Z |
Publication Date | 2022 |
Publication Name | Journal of Risk Finance |
Resource | Scopus |
Abstract | Purpose: This study aims to investigate the safe-haven and hedging properties of Bitcoin against a wide variety of conventional assets before and during the coronavirus disease 2019 (COVID-19) pandemic. Design/methodology/approach: This paper uses a smooth transition regression (STR) to jointly test the hedging properties of Bitcoin in normal conditions and Bitcoin's safe-haven properties in extreme stock market conditions. Findings: Highlighting the results, the authors show that Bitcoin is able to provide safe-haven feature during the COVID-19 pandemic period while Bitcoin serves as a hedge tool in the pre-COVID-19 pandemic period. The findings also show that the prowess of the safe-haven/hedge nature is sensitive to the type of the asset market and the time horizon when switching from daily to weekly frequency data. Originality/value: This is one of the first studies that conduct a combined analysis of the safe-haven and hedging capabilities of Bitcoin against several asset classes using an STR method. This study uses the longest sample period to yet, allowing researchers to examine Bitcoin's safe-haven and hedging features both before and after the COVID-19 pandemic. 2022, Emerald Publishing Limited. |
Language | en |
Publisher | Emerald Publishing |
Subject | Bitcoin COVID-19 Hedge Safe-haven Smooth transition regression |
Type | Article |
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COVID-19 Research [799 items ]
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Finance & Economics [394 items ]