Trade Uncertainties and the Hedging Abilities of Bitcoin

Elie Bouri (), Konstantinos Gkillas (Gillas) () and Rangan Gupta

No 201948, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we use daily data from October 2011 to May 2019 to estimate the monthly realized correlation between stock returns of the United States (US) and Bitcoin returns. Then, we relate the realized correlation with a news-based measure of the growth of trade uncertainty for the US. Our results show that the realized correlation is negatively impacted by increases in trade uncertainty, suggesting that Bitcoin can act as a hedge relative to the US stock market in the wake of heightened trade policy-related uncertainties, and can provide diversification benefits for investors.

Keywords: US stock market; Bitcoin; realized correlation; trade uncertainty (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2019-06
New Economics Papers: this item is included in nep-fmk, nep-pay and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Journal Article: Trade uncertainties and the hedging abilities of Bitcoin (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201948

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