Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

Khreshna Syuhada, Djoko Suprijanto and Arief Hakim

Finance Research Letters, 2022, vol. 46, issue PB

Abstract: This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin’s safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin’s small allocation only.

Keywords: Bitcoin; COVID-19; Gold; Downside risk; Safe haven; Vine copula (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321004517
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004517

DOI: 10.1016/j.frl.2021.102471

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().