The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin
Abstract
Abstract We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin. Furthermore, we find that the conditional diversification benefits offered by gold to equity investments in the G7 markets are comparatively much higher and more stable than those of Bitcoin, especially in the lower return quantiles, i.e., when both the stock and gold markets are in a bearish state. Implications are further discussed.
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Cites
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
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Is gold a safe haven? International evidence
Baur, D. G., & McDermott, T. K. (2010) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2009.12.008 · Cited by 1,947
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
Cappiello, L., Engle, R. F., & Sheppard, K. (2006) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbl005 · Cited by 1,767
Bitcoin, gold and the dollar – A GARCH volatility analysis
Dyhrberg, A. H. (2016) · Finance Research Letters · doi:10.1016/j.frl.2015.10.008 · Cited by 1,544
Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures
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Bitcoin: Medium of exchange or speculative assets?
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On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?
Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017) · Finance Research Letters · doi:10.1016/j.frl.2016.09.025 · Cited by 1,432
Self-citationExploring the dynamic relationships between cryptocurrencies and other financial assets
Corbet, S., Meegan, A., Larkin, C., Lucey, B., & Yarovaya, L. (2018) · Economics Letters · doi:10.1016/j.econlet.2018.01.004 · Cited by 1,335
The economics of BitCoin price formation
Ciaian, P., Rajcaniova, M., & Kancs, D. (2016) · Applied Economics · doi:10.1080/00036846.2015.1109038 · Cited by 1,004
Cited by
Monetary policy shocks and Bitcoin prices
Ma, C., Tian, Y., Hsiao, S., & Deng, L. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101711 · Cited by 34
Havidz, S. A. H., Santoso, M. D., Alexander, T., & Caroline, C. (2024) · Asian Journal of Accounting Research · doi:10.1108/ajar-10-2023-0334 · Cited by 6
Metadata
- Authors
- Hussain Shahzad, S. J., Bouri, E., Roubaud, D., & Kristoufek, L.
- Venue
- Economic Modelling
- Publisher
- Elsevier BV
- Published
- 2020-05
- Volume
- 87
- Pages
- 212-224
- ISSN
- 0264-9993 (ISSN-L)
- OpenAlex
- W2963875464
- Cited by
- 513
- References
- 39
- FWCI
- 71.07
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
