EconPapers    
Economics at your fingertips  
 

Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin

Wing Chan (), Minh Le and Yan Wendy Wu ()

The Quarterly Review of Economics and Finance, 2019, vol. 71, issue C, 107-113

Abstract: This paper investigates whether Bitcoin can hedge and diversify risk against the Euro STOXX, Nikkei, Shanghai A-Share, S&P 500, and the TSX Index, and examines the dynamics of these abilities over different data frequencies. Pairwise GARCH models and constant conditional correlation models are used for daily, weekly, and monthly returns from October 2010 to October 2017. We find that Bitcoin is an effective strong hedge for all these indices under monthly data frequency. However, daily and weekly returns do not demonstrate strong hedge properties. Further frequency dependence model tests reveal that Bitcoin returns are strong hedgings against S&P and Euro indices over medium data frequency, and also against the Shanghai A-Share over low data frequency.

Keywords: Bitcoin; Hedge; Risk management; Cryptocurrency; Frequency; Dependent; Frequency decomposition (search for similar items in EconPapers)
JEL-codes: G1 G11 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976917304180
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:71:y:2019:i:c:p:107-113

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-10-04
Handle: RePEc:eee:quaeco:v:71:y:2019:i:c:p:107-113