Can cryptocurrency or gold rescue BRICS stocks amid the Russia-Ukraine conflict?

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-05-09 DOI:10.1016/j.irfa.2025.104321

Wei Wang , Martin Enilov , Petar Stankov

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Abstract

This study examines whether cryptocurrency markets offer more resilient safe haven properties than gold for stock markets in the BRICS economies from 28th April 2013 to 27th September 2024. Unlike traditional studies that primarily focus on Bitcoin or top-market cap cryptocurrencies, we introduce a novel Crypto index that includes 9468 active and defunct cryptocurrencies, providing a comprehensive view of daily market fluctuations across all listed crypto assets. We also investigate the impact of the Russia-Ukraine military conflict on the safe haven status of these assets. Using a time-varying robust Granger causality framework, we analyse the dynamic relationships between potential safe haven assets and BRICS stocks. Additionally, we explore the network structure of gold, cryptocurrencies, and BRICS stocks across different quantiles. Our results show limited evidence of time-invariant causality, but strong evidence of time-varying causality, suggesting that neither gold nor cryptocurrencies act as safe havens for BRICS stocks over the entire sample period. We find increased market interconnectedness during extreme conditions, with gold and cryptocurrencies initially acting as net receivers of shocks, but gold shifting to a net transmitter during the conflict, indicating stronger safe haven properties for gold. Portfolios favour gold over crypto, and small-cap cryptocurrencies are cheaper but less efficient hedges compared to large-cap cryptos, with Bitcoin emerging as the optimal investment for returns. These findings offer valuable insights for investors and policymakers, particularly for optimizing portfolio management and supporting financial stability during market turbulence.

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在俄乌冲突中，加密货币或黄金能拯救金砖国家股市吗？

本研究考察了2013年4月28日至2024年9月27日期间，加密货币市场是否为金砖国家经济体的股票市场提供了比黄金更有弹性的避险资产。与主要关注比特币或顶级市值加密货币的传统研究不同，我们引入了一种新的加密指数，其中包括9468种活跃和已停用的加密货币，提供了所有上市加密资产的每日市场波动的全面视图。我们还调查了俄罗斯-乌克兰军事冲突对这些资产的避险地位的影响。利用时变稳健格兰杰因果关系框架，我们分析了潜在避险资产与金砖国家股票之间的动态关系。此外，我们还探索了不同分位数的黄金、加密货币和金砖国家股票的网络结构。我们的研究结果显示，时间不变因果关系的证据有限，但时间变化因果关系的证据很充分，这表明在整个样本期间，黄金和加密货币都不是金砖国家股票的避风港。我们发现，在极端条件下，市场互联性增强，黄金和加密货币最初充当冲击的净接受者，但黄金在冲突期间转变为净发射器，这表明黄金的避险属性更强。投资组合更青睐黄金，而不是加密货币，与大盘股加密货币相比，小盘股加密货币更便宜，但效率较低，比特币正成为获得回报的最佳投资。这些发现为投资者和政策制定者提供了宝贵的见解，特别是在优化投资组合管理和支持市场动荡期间的金融稳定方面。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.