On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?

Elie Bouri (1) , Peter Molnár (2) , Georges Azzi (1) , David Roubaud (3) , Lars Ivar Hagfors (2)

1 USEK - Université Saint-Esprit de Kaslik
2 NTNU - Norwegian University of Science and Technology [Trondheim]
3 MRM - Montpellier Research in Management

This paper uses a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index. Daily and weekly data span from July 2011 to December 2015. Overall, the empirical results indicate that Bitcoin is a poor hedge and is suitable for diversification purposes only. However, Bitcoin can only serve as a strong safe haven against weekly extreme down movements in Asian stocks. We also show that Bitcoin hedging and safe haven properties vary between horizons.

Mots clés: Bitcoin; Cryptocurrency; DCC; Diversifier; Hedge; Safe haven

Domaines: Gestion et management

Elie Bouri, Peter Molnár, Georges Azzi, David Roubaud, Lars Ivar Hagfors. On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 2017, 20, pp.192-198. ⟨10.1016/j.frl.2016.09.025⟩. ⟨hal-02000697⟩