Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis

Yingying Huang, Kun Duan and Tapas Mishra

Finance Research Letters, 2021, vol. 43, issue C

Abstract: We examine whether Bitcoin can act as a safe haven against adverse movements of stock and bond assets in five major economies during the COVID-19 bear market. The empirical analyses are conducted using a Bayesian panel VAR method that captures potential interaction and heterogeneity across country/region-segmented markets. We find that Bitcoin in each target economy contributes to diversification benefits and/or risk mitigation both within and across borders, while its sheltering role against traditional assets varies among different economies. Further, we show that the COVID-19 outbreak has altered the role of Bitcoin in various segmented markets except for the US.

Keywords: Bitcoin; Safe Haven; Diversifier; COVID-19; Bayesian panel VAR method (search for similar items in EconPapers)
JEL-codes: C33 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000970

DOI: 10.1016/j.frl.2021.102016

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