Enhanced safe-haven status of Bitcoin: Evidence from the Silicon Valley Bank collapse

Changlun Jin and Xiujuan Tian

Finance Research Letters, 2024, vol. 59, issue C

Abstract: This paper sets out to assess the safe-haven property of Bitcoin by employing a complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN)-based event analysis approach amid the collapse of Silicon Valley Bank. Results reveal Bitcoin's role as a safe-haven amidst the uncertainty permeating the US banking market. In comparison to gold, stock, bond, and foreign exchange market indices, Bitcoin exhibits superior short-term performance and outperforms gold in terms of return and volatility stability in the medium term. Notably, the observation that Bitcoin sustained its safe-haven attribute over a span of 50 days even during periods of relatively diminished market uncertainty further solidifies its status as an improved safe-haven asset.

Keywords: Bitcoin; SVB; CEEMDAN; Event study; Safe-haven (search for similar items in EconPapers)
JEL-codes: C22 G11 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010619

DOI: 10.1016/j.frl.2023.104689

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