Economics at your fingertips  

Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold

Refk Selmi (), Walid Mensi, Shawkat Hammoudeh and Jamal Bouoiyour ()
Additional contact information
Walid Mensi: SQU - Sultan Qaboos University
Shawkat Hammoudeh: Lebow College of Business, Drexel University - CERAG - Centre d'études et de recherches appliquées à la gestion - UPMF - Université Pierre Mendès France - Grenoble 2 - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This study assesses the roles of Bitcoin as a hedge, a safe haven and/or a diversifier against extreme oil price movements, in comparison to the corresponding roles of gold. We use a quantile-on-quantile regression approach to capture the dependence structure between the considered market returns under different Bitcoin market conditions, while considering nuances of oil price movements, compared to gold. Our findings show that both Bitcoin and gold would serve the roles of a hedge, a safe haven and a diversifier for oil price movements. However, this property seems to be sensitive to the Bitcoin's and gold's different (bear, normal or bull) market conditions and to whether the oil price is in a downside, normal or upside regime. By controlling for new and relevant U.S. and global uncertainty indicators, we confirm that both Bitcoin and gold, but not oil, are assets where investors may park their cash during times of political and economic turmoil. The conditional Value-at-Risk (CoVaR) approach to risk management is then conducted, providing robust evidence of the usefulness of each of the Bitcoin and gold in expanded oil portfolios, in terms of diversification opportunities and downside risk reductions.

Keywords: Oil; Bitcoin and gold; Diversifier; hedge and safe haven; Quantile-on-quantile regression; CoVaR (search for similar items in EconPapers)
Date: 2018-08
Note: View the original document on HAL open archive server:
References: Add references at CitEc
Citations: View citations in EconPapers (62) Track citations by RSS feed

Published in Energy Economics, Elsevier, 2018, 74, pp.787-801. ⟨10.1016/j.eneco.2018.07.007⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018) Downloads
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:

DOI: 10.1016/j.eneco.2018.07.007

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2021-04-13
Handle: RePEc:hal:journl:hal-01879667