 Hedging effectiveness of bitcoin and gold: Evidence from G7 stock marketsLei Xu and Takuji Kinkyo Journal of International Financial Markets, Institutions and Money, 2023, vol. 85, issue C Abstract: Geopolitical uncertainty creates huge pressure on financial markets, forcing decision-makers and investors to analyze risks and manage their investment portfolios. Against this background, this study investigates the risk-hedging effects of Bitcoin and Gold in the stock markets of the G7 countries. The research focuses on the period from January 5, 2017 to June 30, 2022, covering a significant portion of the COVID-19 pandemic and the Russo-Ukrainian War. The study utilizes wavelet analysis to analyze the hedging effects in the time–frequency domain, allowing for a more in-depth analysis. The findings show that bitcoin provides stronger short-term risk hedging in the G7 stock markets compared to gold during the COVID-19 and Russo-Ukrainian War periods, making a valuable contribution to the limited existing literature on the topic. Keywords: Hedging effects; Bitcoin; Gold; Stock markets; Wavelet analysis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:85:y:2023:i:c:s104244312300032x DOI: 10.1016/j.intfin.2023.101764 Access Statistics for this article Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely More articles in Journal of International Financial Markets, Institutions and Money from Elsevier |
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