The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities?
Abstract
Abstract This paper addresses the timely question of whether Bitcoin exhibits a safe-haven property for stock market investments during extreme market conditions and whether such a property is similar to or different from that of gold and the general commodity index. We propose a new definition of a weak and strong safe-haven within a bivariate cross-quantilogram approach. This definition considers the lowest tails of both the safe-haven asset and the stock index. Our sample period spans from 19 July 2010 until 22 February 2018 and focuses on several stock market indices, including those of the US, China, and other developed and emerging economies. Our main results show that, at best, each of Bitcoin, gold, and the commodity index can be considered as a weak safe-haven asset in some cases. Rolling-window predictability analyses generally confirm those results and reveal that the safe-haven roles of Bitcoin, gold, and commodities are time-varying and differ across the stock market indices under study.
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Citations
Cites
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Politis, D. N., & Romano, J. P. (1994) · Journal of the American Statistical Association · doi:10.1080/01621459.1994.10476870 · Cited by 2,649
Cited by
Le, T.-L., Abakah, E. J. A., & Tiwari, A. K. (2021) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2020.120382 · Cited by 420
Huynh, T. L. D., Hille, E., & Nasir, M. A. (2020) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2020.120188 · Cited by 336
Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19
Chen, C., Liu, L., & Zhao, N. (2020) · Emerging Markets Finance and Trade · doi:10.1080/1540496x.2020.1787150 · Cited by 292
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
- Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B.
- Venue
- International Review of Financial Analysis
- Publisher
- Elsevier BV
- Published
- 2019-05
- Volume
- 63
- Pages
- 322-330
- ISSN
- 1057-5219 (ISSN-L)
- OpenAlex
- W2910161434
- Cited by
- 694
- References
- 2
- FWCI
- 102.24
- Type
- journal article
- Language
- en
- Status
- Retracted
- Open access
- closed
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- Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2019.01.002
Data sources
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.
