Journal article
Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold
Energy economics, v 74, pp 787-801
Aug 2018
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This study assesses the roles of Bitcoin as a hedge, a safe haven and/or a diversifier against extreme oil price movements, in comparison to the corresponding roles of gold. We use a quantile-on-quantile regression approach to capture the dependence structure between the considered market returns under different Bitcoin market conditions, while considering nuances of oil price movements, compared to gold. Our findings show that both Bitcoin and gold would serve the roles of a hedge, a safe haven and a diversifier for oil price movements. However, this property seems to be sensitive to the Bitcoin's and gold's different (bear, normal or bull) market conditions and to whether the oil price is in a downside, normal or upside regime. By controlling for new and relevant U.S. and global uncertainty indicators, we confirm that both Bitcoin and gold, but not oil, are assets where investors may park their cash during times of political and economic turmoil. The conditional Value-at-Risk (CoVaR) approach to risk management is then conducted, providing robust evidence of the usefulness of each of the Bitcoin and gold in expanded oil portfolios, in terms of diversification opportunities and downside risk reductions.
Bitcoin and gold: A hedge, a safe haven and a diversifier comparison.
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•We compare the hedge, safe haven and diversifier properties of Bitcoin and gold.•We compare unconditional and conditional quantile-on-quantile regression models.•A conditional value at risk is performed.•Oil-hedging abilities of Bitcoin and gold depend on their market states and oil price nuances.•Bitcoin and gold reduce oil-related portfolio risks with different magnitudes.
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Details
- Title
- Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold
- Creators
- Refk Selmi - University of Pau and Pays de l'AdourWalid Mensi - Sultan Qaboos UniversityShawkat Hammoudeh - Drexel UniversityJamal Bouoiyour - University of Pau and Pays de l'Adour
- Publication Details
- Energy economics, v 74, pp 787-801
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000445713500057
- Scopus ID
- 2-s2.0-85051119782
- Other Identifier
- 991019167764904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics