The DOI matches its Crossref record; 49 of the 49 references it cites were found in a registry or an index.
Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis
Abstract
Abstract In this study, we compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010–22 February 2018. We apply the wavelet coherency approach and show that the overall dependence between Bitcoin/gold/commodities and the stock markets is not very strong at various time scales, with Bitcoin being the least dependent. We study the diversification potential at the tail of the return distribution through wavelet value-at-risk (VaR) and reveal that the degree of co-movement between gold and stock returns affects the portfolio’s VaR level. Specifically, the benefits of diversification vary in the time-frequency space, with Bitcoin exhibiting a superiority over both gold and commodities. Our findings are useful for investors and financial advisors searching for the best asset among Bitcoin, gold, and commodities to hedge extreme negative movements in stock market indices, while accounting for the heterogeneity in the horizons of investors.
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Citations
Cites
A Practical Guide to Wavelet Analysis
Torrence, C., & Compo, G. P. (1998) · Bulletin of the American Meteorological Society · doi:10.1175/1520-0477(1998)079<0061:apgtwa>2.0.co;2 · Cited by 14,890
Bitcoin: A Peer-to-Peer Electronic Cash System
Wright, C. S. (2008) · SSRN Electronic Journal · doi:10.2139/ssrn.3440802 · Cited by 13,922
Application of the cross wavelet transform and wavelet coherence to geophysical time series
Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004) · Nonlinear Processes in Geophysics · doi:10.5194/npg-11-561-2004 · Cited by 6,285
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
Bitcoin: Medium of exchange or speculative assets?
Baur, D. G., Hong, K., & Lee, A. D. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2017.12.004 · Cited by 1,449
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
Self-citationThe economics of BitCoin price formation
Ciaian, P., Rajcaniova, M., & Kancs, D. (2016) · Applied Economics · doi:10.1080/00036846.2015.1109038 · Cited by 1,004
What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis
Kristoufek, L. (2015) · PLOS ONE · doi:10.1371/journal.pone.0123923 · Cited by 987
Self-citationKristoufek, L. (2013) · Scientific Reports · doi:10.1038/srep03415 · Cited by 857
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Searching for safe-haven assets during the COVID-19 pandemic
Ji, Q., Zhang, D., & Zhao, Y. (2020) · International Review of Financial Analysis · doi:10.1016/j.irfa.2020.101526 · Cited by 656
Return connectedness across asset classes around the COVID-19 outbreak
Bouri, E., Cepni, O., Gabauer, D., & Gupta, R. (2021) · International Review of Financial Analysis · doi:10.1016/j.irfa.2020.101646 · Cited by 629
Self-citationStatic and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication
Yousaf, I., & Yarovaya, L. (2022) · Global Finance Journal · doi:10.1016/j.gfj.2022.100719 · Cited by 313
Gunay, S., & Kaskaloglu, K. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101773 · Cited by 36
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
- Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B.
- Venue
- The Quarterly Review of Economics and Finance
- Publisher
- Elsevier BV
- Published
- 2020-08
- Volume
- 77
- Pages
- 156-164
- ISSN
- 1062-9769 (ISSN-L)
- OpenAlex
- W3014843328
- Cited by
- 521
- References
- 49
- FWCI
- 58.74
- Type
- journal article
- Language
- en
- Open access
- closed
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- Bouri, E., Shahzad, S. J. H., Roubaud, D., Kristoufek, L., & Lucey, B. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance. https://doi.org/10.1016/j.qref.2020.03.004
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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