Does Bitcoin hedge crude oil implied volatility and structural shocks? A comparison with gold, commodity and the US Dollar

Debojyoti Das (), Corlise Le Roux (), R.K. Jana and Anupam Dutta

Finance Research Letters, 2020, vol. 36, issue C

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.

Keywords: Bitcoin; Gold; Commodity; Hedge; Safe-haven; Crude oil; Quantile regression (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319306725

DOI: 10.1016/j.frl.2019.101335

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