Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether

【Author】 Bedowska-Sojka, Barbara; Kliber, Agata

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】This paper aims to investigate the safe-haven properties of gold and two cryptocurrencies, Bitcoin and Ether. Safe havens are the financial assets that allow investors to protect their portfolios within the market turmoil. The research sample covers five years and includes several downturns on the financial markets, starting from the Chinese stock market turbulences in 2015/2016 and ending up with the recent pandemic outbreak in 2020. We find that only gold used to be a strong safe-haven against the stock market indices. Yet, this property evaporated during the crisis caused by the COVID pandemic. Occasionally, cryptocurrencies could have been considered weak safe-havens against the examined instruments. Ether acted more often as a weak safe-haven against DAX or S&P500, while Bitcoin played this role against FTSE250, STOXX600 and S&P500.

【Keywords】Liquidity; Volatility; Bitcoin; Ether; Cryptocurrencies; Gold; Stock market; Stochastic volatility

【发表时间】2021 APR

【收录时间】2022-01-02

【文献类型】

【主题类别】

--