Dynamic correlation and hedging strategy between Bitcoin prices and stock market during the Russo-Ukrainian war

Mariem Gaies () and Walid Chkili ()
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Mariem Gaies: Manouba University
Walid Chkili: University of Tunis ElManar

Eurasian Economic Review, 2023, vol. 13, issue 2, No 6, 307-319

Abstract: Abstract This paper examines the dynamic relationship between stock market and Bitcoin volatilities during the recent geo-political event of the Russo-Ukrainian war. Using the ADCC–GARCH model, empirical results show that volatility of the two markets has rose significantly during the event. More interestingly the dynamic correlation increases during the Russia’s invasion of Ukraine indicating that Bitcoin has failed to play the role of safe haven during this period. In portfolio context, our finding reveals that adding Bitcoin to portfolio of stocks reduce the risk without lowering the expected returns. Finally, referring to hedging ratio, we find that hedging strategy leads higher cost during the war.

Keywords: Russia–Ukraine war; Stock market; Bitcoin; Correlation; Safe haven (search for similar items in EconPapers)
JEL-codes: G11 G32 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40822-023-00231-1

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