The Importance of Bitcoin and Commodities as Investment Diversifiers in OPEC and Non-OPEC Countries

Angham Ben Brayek (), Hanen Ben Ameur and Farea Mohammed Alharbi
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Angham Ben Brayek: Department of Economic and Finance, Taif University, Taif 21974, Saudi Arabia
Hanen Ben Ameur: Department of Economic and Finance, Taif University, Taif 21974, Saudi Arabia
Farea Mohammed Alharbi: Department of Economic and Finance, Taif University, Taif 21974, Saudi Arabia

Economies, 2024, vol. 12, issue 12, 1-11

Abstract: The study aims to critically assess the safe-haven properties of Bitcoin and a diverse set of commodities in mitigating stock market risks during periods of extreme financial turbulence. Specifically, this research seeks to evaluate the effectiveness of these assets as hedging tools or diversifiers in the portfolios of both OPEC and non-OPEC countries, focusing on their behavior during the COVID-19 pandemic. We employ a wavelet coherence approach to analyze the dynamic relationships between the variables. Portfolio optimization is conducted using CVaR to assess the effectiveness of these assets as safe havens, hedges, or diversification tools in mitigating financial risks during periods of heightened market volatility. The diversification benefits of commodities and Bitcoin in OPEC and non-OPEC stock portfolios decrease over time as their co-movement with stock markets increases. During the COVID-19 period, BTC did not act as a safe haven. However, gold served as a hedge for non-OPEC countries. Using CVaR, we found that BTC provides stronger diversification benefits than commodities, followed by gold. We examine the safe-haven role of Bitcoin and various commodities, specifically within the context of both OPEC and non-OPEC countries. Our study offers a more comprehensive analysis of how BTC and commodities function as portfolio assets during financial stress, providing valuable insights for investors and policymakers.

Keywords: Bitcoin; safe haven; OPEC; wavelet; CVaR (search for similar items in EconPapers)
JEL-codes: E F I J O Q (search for similar items in EconPapers)
Date: 2024
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