Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets

【Author】 Xu, Lei; Kinkyo, Takuji

【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

【影响因子】4.217

【Abstract】Geopolitical uncertainty creates huge pressure on financial markets, forcing decision-makers and investors to analyze risks and manage their investment portfolios. Against this background, this study investigates the risk-hedging effects of Bitcoin and Gold in the stock markets of the G7 countries. The research focuses on the period from January 5, 2017 to June 30, 2022, covering a significant portion of the COVID-19 pandemic and the Russo-Ukrainian War. The study utilizes wavelet analysis to analyze the hedging effects in the time-frequency domain, allowing for a more in-depth analysis. The findings show that bitcoin provides stronger short-term risk hedging in the G7 stock markets compared to gold during the COVID-19 and Russo-Ukrainian War periods, making a valuable contribution to the limited existing literature on the topic.

【Keywords】Hedging effects; Bitcoin; Gold; Stock markets; Wavelet analysis

【发表时间】2023 JUN

【收录时间】2023-08-18

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