Is Bitcoin a hedge? How extreme volatility can destroy the hedge property

【Author】 Baur, Dirk G.; Hoang, Lai T.; Hossain, Md Zakir

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】A large literature tests whether Bitcoin can hedge portfolio risk, i.e. reduce the risk if added to a portfolio. Intuitively, given the extreme volatility and thus risk of Bitcoin and cryptocurrencies, the idea that Bitcoin is a hedge may be puzzling. Indeed, we show that for extreme levels of volatility, Bitcoin does not reduce the risk if added to a benchmark equity portfolio. This is not only true on average but also holds for sub-samples, including the COVID-19 crisis period. We conclude that a focus on correlations is not sufficient for extreme levels of volatility.

【Keywords】Bitcoin; Hedge; Portfolio diversifier

【发表时间】2022 JUN

【收录时间】2022-07-17

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币