Safe haven or risky hazard? Bitcoin during the Covid-19 bear market
Thomas Conlon and
Finance Research Letters, 2020, vol. 35, issue C
The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this paper, we show that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops. When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk. Our empirical findings cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.
Keywords: Bitcoin; Safe haven; Downside risk; Covid-19 (search for similar items in EconPapers)
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