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Exploring the hedge and safe haven properties of cryptocurrency in policy uncertainty

Md. Bokhtiar Hasan, M. Kabir Hassan (), Zulkefly Abdul Karim and Md. Mamunur Rashid

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: We analyze the cryptocurrency policy uncertainty (UCRY Policy) effect on gold, Bitcoin, the US dollar, DJ Islamic Index, Sukuk, and WTI returns. Using Ordinary Least Square, Quantile regression, and Quantile-on-Quantile regression approaches, we find that Bitcoin, the US dollar, and WTI returns are negatively impacted by UCRY Policy during the bearish and bullish states, suggesting their failure to act as a hedge or safe-haven asset. Conversely, UCRY Policy positively impacts gold, DJ Islamic Index, and Sukuk returns, highlighting their potential to function as a hedge or safe-haven asset. Gold serves the same role during highly uncertain times.

Keywords: Cryptocurrency policy uncertainty; Hedge; Safe-haven; Quantile-on-Quantile (search for similar items in EconPapers)
JEL-codes: C22 D81 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003147

DOI: 10.1016/j.frl.2021.102272

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