Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2022.2140443
Are cryptocurrencies a future safe haven for investors? The case of Bitcoin
Audil Rashid
Walid Bakry
Somar Al-Mohamad
Sažetak
The paper seeks to determine whether Bitcoin behaves differently
from forex markets and Gold, and whether it offers any diversification,
hedging, or safe-haven potential. A Markov regime-switching
regression model is employed to determine the relationship
between Bitcoin, the real economic activity, foreign exchange markets,
financial markets, Energy, and Gold. The results indicate that,
unlike USD/EUR and Gold, besides other variables, Bitcoin exhibits
significant deviations in terms of its association with other financial
and economic variables. Bitcoin appears to be strikingly positively
associated with equity markets in both regimes. This may limit its
potential to either act as a hedge or a safe-haven for US Equity markets.
Bitcoin also deviates considerably from Gold and USD/EUR as it
is not affected by the same set of variables as Gold or USD/EUR are
under either regime. Moreover, while Gold appears to offer considerably
weak safe-haven properties, particularly against equity,
Bitcoin fails to be a safe-haven for any of the assets under study. The
results, however, indicate that the properties of Bitcoin may range
between a diversifier and a hedge, however, such potential of
Bitcoin must be viewed with caution owing to the large volatility
exhibited by Bitcoin.
Ključne riječi
Cryptocurrency; Bitcoin; blockchain; digital currencies; financial innovation
Hrčak ID:
306716
URI
Datum izdavanja:
30.4.2023.
Posjeta: 724 *