【Author】
Wang Pengfei; Zhang Wei; Li Xiao; Shen Dehua
【Source】FINANCE RESEARCH LETTERS
【Abstract】Current literature on the hedge or safe haven property of cryptocurrency focuses exclusively on a few number of the cryptocurrency. This paper gives a detailed observation by including 973 forms of cryptocurrency and 30 international indices from a dynamic perspective. The empirical results mainly show that: (1) generally, cryptocurrency is a safe haven but not a hedge for most of the intemational indices; (2) the safe haven property is more pronounced in subgroups with larger market capitalization and higher liquidity; and (3) the safe haven property is more pronounced in developed markets.
【Keywords】Cryptocurrency; Hedge; Safe haven; Dynamic perspective; Developed and developing markets; Liquidity
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