The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar
Abstract
Abstract In this article, we examine the hedging and safe-haven properties of Bitcoin against crude oil implied volatility (OVX) and structural shocks using a dummy variable GARCH and quantile regression model. In addition, we also compare the hedging and safe-haven performance of Bitcoin with gold, commodity and US Dollar. We conclude that Bitcoin is not the superior asset over others to hedge oil-related uncertainties. Besides, hedging capacity of different assets is conditional upon the nature of oil risks and market situation. Thus, investors may prefer different investment instruments to hedge downside risks in different economic situations and market states.
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RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.09.003 · Cited by 1,172
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COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin
Dutta, A., Das, D., Jana, R. K., & Vo, X. V. (2020) · Resources Policy · doi:10.1016/j.resourpol.2020.101816 · Cited by 303
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Metadata
- Authors
- Das, D., Le Roux, C. L., Jana, R. K., & Dutta, A.
- Venue
- Finance Research Letters
- Publisher
- Elsevier BV
- Published
- 2020-10
- Volume
- 36
- Pages
- 101335
- ISSN
- 1544-6123 (ISSN-L)
- OpenAlex
- W2981419603
- Cited by
- 168
- References
- 1
- FWCI
- 26.50
- Type
- journal article
- Language
- en
- Open access
- closed
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- Das, D., Le Roux, C. L., Jana, R. K., & Dutta, A. (2020). Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar. Finance Research Letters. https://doi.org/10.1016/j.frl.2019.101335
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