Cryptocurrencies as hedges and safe-havens for US equity sectors

【Author】 Bouri, Elie; Shahzad, Syed Jawad Hussain; Roubaud, David

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggerate US equity index and selected sectors. As for Ethereum, Dash and Nem, they are hedges for few equity sectors. Our findings help investors in improving their ability to offset equity losses with new cryptocurrencies. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】Bitcoin; Cryptocurrencies; Hedge; Safe-haven; US equity sectors; Quantiles

【发表时间】2020 FEB

【收录时间】2022-01-02

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