Izvorni znanstveni članak
https://doi.org/10.48188/so.5.6
Relationship between Bitcoin and the stock market – can bitcoin serve as a safe haven for investors?
Julija Božan
; Faculty of Economics, Business and Tourism, University of Split, Split, Croatia; OTP Leasing d.d., Split, Croatia
Josip Visković
; Faculty of Economics, Business and Tourism, University of Split, Split, Croatia
Sažetak
Aim: As a new asset class, Bitcoin and other cryptocurrencies can be interesting for investors in the context of return stabilization, especially in times of crisis. We aimed to analyse whether Bitcoin can serve as a safe haven for investors in times of crisis.
Methods: The data covers the period from September 17, 2014, to April 29, 2021, with 382 observations. Yahoo! Finance served as the source for the Bitcoin prices and Investing.com for the values of the Standard & Poor’s 500 (S&P500) Index. We used the maximum likelihood method to estimate the dynamic conditional correlation model.
Results: Due to the high volatility during the analysed period, Bitcoin achieved a higher risk-adjusted return compared to the S&P500 Index. The DCC model showed a positive correlation between the returns of the S&P500 and Bitcoin during the analysed period.
Conclusions: Our results suggest that Bitcoin may not serve as a safe haven for investors in times of crisis. However, its role in this context should be further evaluated by examining its relationship with other traditional asset classes (gold, commodities) and other types of cryptocurrencies such as stablecoins.
Ključne riječi
Bitcoin; S&P500; volatility; MGARCH; safe haven; crisis
Hrčak ID:
320192
URI
Datum izdavanja:
23.8.2024.
Posjeta: 0 *