Bitcoin, VIX futures and CDS: a triangle for hedging the international equity portfolios

【Author】 Zghal, Rania; Ghorbel, Ahmed

【Source】INTERNATIONAL JOURNAL OF EMERGING MARKETS

【影响因子】3.422

【Abstract】Purpose In this paper, our aim is to estimate the time varying correlations between Bitcoin, VIX futures and CDS indexes and to examine in what ways these assets can act as beneficial hedge and safe haven mechanisms, useful for facing, or attenuating, the major world equity markets related risks and volatilities. Design/methodology/approach Our methodology consists to model each pair equity/asset indices by bivariate symmetric and asymmetric dynamic conditional models (A) DCC to evaluate the portfolio design associated implications on both daily and weekly collected data base, with regard to the period ranging from July, 2010 to January 2018. To assess the extent to which the Bitcoin, VIX futures and sovereign CDS may stand as diversifiers, i.e. as hedging or safe haven instruments against the various stock indexes, we adopt the same method applied by Baur and Lucey (2010). Findings Empirical results show that the hedging and safe haven roles associated with the three hedging instruments tend to differ noticeably across time horizons and model used. The interest brought about by treating this issue is twofold. On the one hand, it should provide useful guidelines to investors through helping them opt for the most effective and beneficial strategies, whereby they could efficiently hedge the equity markets related extreme risks and volatilities. On the other hand, it is intended to highlight the applied models' specifications associated impacts. Research limitations/implications The interest brought about by treating this issue is twofold. On the one hand, it should provide useful guidelines to investors and financial advisors through helping them opt for the most effective and beneficial of the strategies, whereby they could efficiently hedge the equity markets related extreme risks and volatilities. On the other hand, it is intended to highlight the applied models' specifications associated impacts. Originality/value Study of Bitcoin can be considered as safe haven or hedge or diversifier instrument. Compare between Bitcoin, VIX and CDs.

【Keywords】Bitcoin; VIX futures; CDS index; Equity markets; DCC; ADCC; Hedge-safe haven

【发表时间】2020

【收录时间】2022-01-02

【文献类型】

【主题类别】

--