Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?
Elie Bouri (),
Naji Jalkh,
Peter Molnár and
David Roubaud ()
Applied Economics, 2017, vol. 49, issue 50, 5063-5073
Abstract:
We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine whether that ability is also present for non-energy commodities and our analysis show insignificant results when energy commodities are excluded from the general commodity index. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe-haven properties against commodities and energy commodities are only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (116)
Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2017.1299102 (text/html)
Access to full text is restricted to subscribers.
Related works:
Working Paper: Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven? (2017)
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:taf:applec:v:49:y:2017:i:50:p:5063-5073
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20
DOI: 10.1080/00036846.2017.1299102
Access Statistics for this article
Applied Economics is currently edited by Anita Phillips
More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().