Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

Jocelyn Grira, Sana Guizani and Ines Kahloul

Journal of Risk Finance, 2022, vol. 23, issue 5, 605-618

Abstract: Purpose - The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic. Design/methodology/approach - In order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings. Findings - Using time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises. Originality/value - The study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

Keywords: Bitcoin; Hedging; Granger causality in the sense of Toda and Yamamoto (1995); COVID-19 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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:eme:jrfpps:jrf-01-2022-0003

DOI: 10.1108/JRF-01-2022-0003

Access Statistics for this article

Journal of Risk Finance is currently edited by Nawazish Mirza

More articles in Journal of Risk Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().