Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis

【Author】 Huang, Yingying; Duan, Kun; Mishra, Tapas

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We examine whether Bitcoin can act as a safe haven against adverse movements of stock and bond assets in five major economies during the COVID-19 bear market. The empirical analyses are conducted using a Bayesian panel VAR method that captures potential interaction and heterogeneity across country/region-segmented markets. We find that Bitcoin in each target economy contributes to diversification benefits and/or risk mitigation both within and across borders, while its sheltering role against traditional assets varies among different economies. Further, we show that the COVID-19 outbreak has altered the role of Bitcoin in various segmented markets except for the US.

【Keywords】Bayesian panel VAR method; Bitcoin; Safe Haven; Diversifier; COVID-19

【发表时间】2021 NOV

【收录时间】2022-01-01

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