 Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varyingLaura Garcia-Jorcano and Sonia Benito Research in International Business and Finance, 2020, vol. 54, issue C Abstract: In this study, we analyze the properties of Bitcoin as a diversifier asset and hedge asset against the movement of international market stock indices: S&P500 (US), STOXX50 (EU), NIKKEI (Japan), CSI300 (Shanghai), and HSI (Hong Kong). For this, we use several copula models: Gaussian, Student-t, Clayton, Gumbel, and Frank. The analysis period runs from August 18, 2011 to June 31, 2019. We found that the Gaussian and Student-t copulas are best at fitting the structure dependence between markets. Also, these copulas suggest that under normal market conditions, Bitcoin might act as a hedge asset against the stock price movements of all international markets analyzed. However, the dependence on the Shanghai and Hong Kong markets was somewhat higher. Also, under extreme market conditions, the role of Bitcoin might change from hedge to diversifier. In a time-varying copula analysis, given by the Student-t copula, we found that even under normal market conditions, for some markets, the role of Bitcoin as a hedge asset might fail on a high number of days. Keywords: Bitcoin; Diversifier; Hedge; Dependence; Copula (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:riibaf:v:54:y:2020:i:c:s0275531920300192 DOI: 10.1016/j.ribaf.2020.101300 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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