【Author】
Syuhada, Khreshna; Suprijanto, Djoko; Hakim, Arief
【Source】FINANCE RESEARCH LETTERS
【Abstract】This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.
【Keywords】Bitcoin; COVID-19; Gold; Downside risk; Safe haven; Vine copula
评论