On the safe-haven and hedging properties of Bitcoin: new evidence from COVID-19 pandemic

IF 5.7 Q1 BUSINESS, FINANCE

Journal of Risk Finance Pub Date : 2022-12-02 DOI:10.1108/jrf-06-2022-0153

Wafa Abdelmalek, Noureddine Benlagha

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引用次数: 1

Abstract

PurposeThis study aims to investigate the safe-haven and hedging properties of Bitcoin against a wide variety of conventional assets before and during the coronavirus disease 2019 (COVID-19) pandemic.Design/methodology/approachThis paper uses a smooth transition regression (STR) to jointly test the hedging properties of Bitcoin in normal conditions and Bitcoin's safe-haven properties in extreme stock market conditions.FindingsHighlighting the results, the authors show that Bitcoin is able to provide safe-haven feature during the COVID-19 pandemic period while Bitcoin serves as a hedge tool in the pre-COVID-19 pandemic period. The findings also show that the prowess of the safe-haven/hedge nature is sensitive to the type of the asset market and the time horizon when switching from daily to weekly frequency data.Originality/valueThis is one of the first studies that conduct a combined analysis of the safe-haven and hedging capabilities of Bitcoin against several asset classes using an STR method. This study uses the longest sample period to yet, allowing researchers to examine Bitcoin's safe-haven and hedging features both before and after the COVID-19 pandemic.

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关于比特币的避险和对冲属性：新冠肺炎大流行的新证据

目的本研究旨在调查2019冠状病毒病（新冠肺炎）大流行之前和期间比特币对各种传统资产的安全性和对冲特性。设计/方法论/方法本文使用平稳过渡回归（STR）来联合测试比特币在正常条件下的套期保值特性和比特币在极端股市条件下的避险特性。发现突出了结果，作者表明，比特币能够在新冠肺炎大流行期间提供安全功能，而比特币在新冠肺炎大流行前作为对冲工具。研究结果还表明，当从每日频率数据转换为每周频率数据时，避险/对冲性质的能力对资产市场的类型和时间范围很敏感。独创性/价值这是第一批使用STR方法对比特币对几种资产类别的避险和对冲能力进行综合分析的研究之一。这项研究使用了迄今为止最长的样本期，使研究人员能够检查比特币在新冠肺炎大流行前后的安全和对冲功能。

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

Journal of Risk Finance BUSINESS, FINANCE-

CiteScore

6.20

自引率

6.70%

发文量

期刊介绍： The Journal of Risk Finance provides a rigorous forum for the publication of high quality peer-reviewed theoretical and empirical research articles, by both academic and industry experts, related to financial risks and risk management. Articles, including review articles, empirical and conceptual, which display thoughtful, accurate research and be rigorous in all regards, are most welcome on the following topics: -Securitization; derivatives and structured financial products -Financial risk management -Regulation of risk management -Risk and corporate governance -Liability management -Systemic risk -Cryptocurrency and risk management -Credit arbitrage methods -Corporate social responsibility and risk management -Enterprise risk management -FinTech and risk -Insurtech -Regtech -Blockchain and risk -Climate change and risk