Hedging effectiveness of bitcoin on latin American equity indices: A multiscale analysis based on wavelets

Abstract

Bitcoin volatility has created new dimensions for the investors Globally and attracted lot of other stakeholders to investigate various factors for its performance. This research work evaluates the role of the Bitcoin as diversifier in the portfolio and performance as a hedger, safe-haven investment against Gold and Oil. We use a wavelet approach to capture time scale behaving of MSCI LATAM equity indices against Bitcoin and commodities under different market conditions. Our findings suggest that Bitcoin act as safe-haven device while Gold is a better hedger device against Oil which shows diversifier properties.