Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective

Pengfei Wang, Wei Zhang, Xiao Li and Dehua Shen

Finance Research Letters, 2019, vol. 31, issue C, 1-18

Abstract: Current literature on the hedge or safe haven property of cryptocurrency focuses exclusively on a few number of the cryptocurrency. This paper gives a detailed observation by including 973 forms of cryptocurrency and 30 international indices from a dynamic perspective. The empirical results mainly show that: (1) generally, cryptocurrency is a safe haven but not a hedge for most of the international indices; (2) the safe haven property is more pronounced in subgroups with larger market capitalization and higher liquidity; and (3) the safe haven property is more pronounced in developed markets.

Keywords: Cryptocurrency; Hedge; Safe haven; Dynamic perspective; Developed and developing markets; Liquidity (search for similar items in EconPapers)
JEL-codes: G11 G12 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 (81)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:1-18

DOI: 10.1016/j.frl.2019.04.031

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