Hedging Capabilities of Bitcoin. Is it the virtual gold?

Anne Haubo Dyhrberg

No 201521, Working Papers from School of Economics, University College Dublin

Abstract: This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used as a hedge against the American dollar in the short-term. Bitcoin thereby possess some of the same hedging abilities as gold and can be included in the variety of tools available to market analysts to hedge market specific risk.

Keywords: Bitcoin; Risk Management; Gold; Hedging (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2015-10
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (21)

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http://hdl.handle.net/10197/7169 First version, 2015 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ucn:wpaper:201521

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