Safe haven, hedge and diversification for G7 stock markets: Gold versus bitcoin

Syed Jawad Hussain Shahzad, Elie Bouri (), David Roubaud () and Ladislav Krištoufek ()

Economic Modelling, 2020, vol. 87, issue C, 212-224

Abstract: We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin. Furthermore, we find that the conditional diversification benefits offered by gold to equity investments in the G7 markets are comparatively much higher and more stable than those of Bitcoin, especially in the lower return quantiles, i.e., when both the stock and gold markets are in a bearish state. Implications are further discussed.

Keywords: Gold; Bitcoin; G7 stock indices; Safe haven; Hedging; Conditional diversification benefits (search for similar items in EconPapers)
JEL-codes: C52 G11 G17 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (178)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:87:y:2020:i:c:p:212-224

DOI: 10.1016/j.econmod.2019.07.023

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