Are Bitcoin and Gold a Safe Haven during COVID-19 and the 2022 Russia–Ukraine War?

İhsan Erdem Kayral (), Ahmed Jeribi and Sahar Loukil
Additional contact information
Ahmed Jeribi: Department of Finance, Faculty of Economics and Management Sciences, University of Monastir, Mahdia 5100, Tunisia
Sahar Loukil: Department of Finance, Faculty of Economics and Management Sciences, University of Sfax, Sfax 3029, Tunisia

JRFM, 2023, vol. 16, issue 4, 1-22

Abstract: Our investigation strives to unearth the best portfolio hedging strategy for the G7 stock indices through Bitcoin and gold using daily data relevant to the period 2 January 2016 to 5 January 2023. This study uses the DVECH-GARCH model to model dynamic correlation and then compute optimal hedge ratios and hedging effectiveness. The empirical findings show that Bitcoin and gold were rather effective hedge assets before COVID-19 and diversifiers during the pandemic and Russia–Ukraine war. From hedging effectiveness perspectives, gold and Bitcoin are safe-haven assets, and the investment risk of G7 stock indices could be hedged by taking a short position during thepandemic period and war except for the pair Nikkei/Gold. Additionally, gold beats Bitcoin in terms of hedging efficiency. We thus demonstrate the central role of Bitcoin and gold as financial market participants, particularly during market turmoil and downward movements. Our findings can be of interest to investors, regulators, and governments to take into consideration the role of Bitcoin in financial markets.

Keywords: Bitcoin; gold; G7 stock indices; hedging strategy; Russia–Ukraine war; COVID-19 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://www.mdpi.com/1911-8074/16/4/222/pdf (application/pdf)
https://www.mdpi.com/1911-8074/16/4/222/ (text/html)

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:gam:jjrfmx:v:16:y:2023:i:4:p:222-:d:1114375

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().