Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

IF 5.7 Q1 BUSINESS, FINANCE

Journal of Risk Finance Pub Date : 2022-08-02 DOI:10.1108/jrf-01-2022-0003

Jocelyn Grira, Sana Guizani, I. Kahloul

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引用次数: 3

Abstract

PurposeThe purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic.Design/methodology/approachIn order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings.FindingsUsing time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.Originality/valueThe study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

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比特币对股市波动的对冲属性:COVID-19大流行期间的经验证据

目的本文旨在分析新冠肺炎疫情期间比特币对标准普尔500指数的套期保值能力。设计/方法/方法为了研究比特币在新冠肺炎大流行期间与标准普尔500指数相关的对冲特征，作者对2019年1月1日至2020年12月31日的每日观察样本使用了格兰杰因果关系。作为稳健性检验，作者使用自回归模型来检验研究结果的有效性。发现使用2019年1月1日至2020年12月31日的每日数据时间序列，结果显示比特币不被视为避风港，因为它与标准普尔500指数的走势相同。作为稳健性检验，作者使用了指数GARCH模型，并证实了我们之前的发现。总的来说，这项研究有助于就新冠肺炎对金融系统的影响以及比特币在极端全球危机期间是安全港的假设展开辩论。原创/价值该研究有助于就新冠肺炎对金融系统的影响以及比特币在极端全球危机期间是安全港的假设展开辩论。

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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