Stress selective Behavior: Asymmetric Responses of Bitcoin and Gold to Valuation and Uncertainty Shocks

Abstract

Gold is widely viewed as a safe-haven, yet empirical evidence on Bitcoin remains mixed. A key reason is that “stress” is often treated as a single regime even though turmoil can be triggered by valuation-led equity drawdowns or by fear-driven volatility spikes. Using daily data from 2014 to 2026, stress days are classified non-parametrically into valuation-driven tails and uncertainty-driven tails, with joint/systemic days identified when both conditions hold. Evidence combines stress-conditional correlations and sign rates, rolling market betas (rolling OLS controlling for contemporaneous ΔVIX), and HAC-robust regressions of Bitcoin and gold returns on equity returns, ΔVIX, the 10-year U.S. Treasury yield, the OFR Financial Stress Index, inflation-adjusted money supply, and sentiment/attention proxies. Bitcoin is stress-selective: equity comovement is near zero in valuation-driven stress but increases sharply when uncertainty dominates and is strongest in joint/systemic episodes; rolling betas display pronounced right-tail realizations in uncertainty-driven regimes, with episodic maxima above 2. Regression results corroborate a direct uncertainty channel, with volatility shocks exerting a statistically significant negative effect on Bitcoin returns beyond equity movements and controls, while gold remains comparatively insulated. Findings are robust to alternative stress cut-offs (1%/99% and 10%/90%) and rolling-window lengths. Practically, stress testing and risk limits should distinguish valuation-drawdown scenarios from volatility-shock scenarios, and crypto exposure limits and margin/haircut schedules should tighten when volatility/financial-stress indicators deteriorate, whereas gold provides more reliable protection in fear-driven episodes.