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Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

Thomas Conlon and Richard McGee

Finance Research Letters, 2020, vol. 35, issue C

Abstract: 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)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612320304244

DOI: 10.1016/j.frl.2020.101607

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