Cryptocurrencies as hedges and safe-havens for US equity sectors

Elie Bouri (), Syed Jawad Hussain Shahzad and David Roubaud ()

The Quarterly Review of Economics and Finance, 2020, vol. 75, issue C, 294-307

Abstract: We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggerate US equity index and selected sectors. As for Ethereum, Dash and Nem, they are hedges for few equity sectors. Our findings help investors in improving their ability to offset equity losses with new cryptocurrencies.

Keywords: Bitcoin; Cryptocurrencies; Hedge; Safe-haven; US equity sectors; Quantiles (search for similar items in EconPapers)
JEL-codes: C11 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:75:y:2020:i:c:p:294-307

DOI: 10.1016/j.qref.2019.05.001

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