Is Bitcoin a hedge or safe haven for currencies? An intraday analysis

Andrew Urquhart and Hanxiong Zhang ()

International Review of Financial Analysis, 2019, vol. 63, issue C, 49-57

Abstract: Bitcoin has attracted a wealth of attention in the media and by investors alike and this paper investigates whether Bitcoin can act as a hedge or safe haven against world currencies. Contrary to previous studies, we assess the relationship between Bitcoin and currencies at the hourly frequency since Bitcoin experiences quite large volatility throughout the day. We employ a ADCC model and find that Bitcoin can be an intraday hedge for the CHF, EUR and GBP, but acts as a diversifier for the AUD, CAD and JPY. We also implement the non-temporal Hansen (2000) test to examine the safe haven properties of Bitcoin and find that Bitcoin is a safe haven during periods of extreme market turmoil for the CAD, CHF and GBP. Therefore our results indicate that Bitcoin does act as an intraday hedge, diversifier and safe haven for certain currencies, which will be of great interest to currency, cryptocurrency and high frequency investors alike.

Keywords: Safe haven; Hedge; Bitcoin; High frequency; Dynamic conditional correlation (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (225)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:63:y:2019:i:c:p:49-57

DOI: 10.1016/j.irfa.2019.02.009

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