Gold, Bitcoin, and Portfolio Diversification: Lessons from the Ukrainian War

Kim Oosterlinck, Ariane Reyns and Ariane Szafarz

No 22-008, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: How do major disruptive events, such as wars, affect the correlations between gold, Bitcoin, and financial assets? We address this question by estimating a dynamic conditional correlation (DCC) model before and during the 2022 Russian invasion of Ukraine. The results show that, after the outbreak of the war, the correlation between gold and stock markets dropped, confirming the diversification potential of gold during crises. The correlation between Bitcoin and oil declined as well. Meanwhile, the gold/Bitcoin correlation slightly decreased. Overall, our preliminary evidence suggests that gold and Bitcoin act as complements—rather than substitutes—for diversification purposes during international crises.

Keywords: Bitcoin; Gold; Portfolio diversification; 2022 Russian invasion (search for similar items in EconPapers)
JEL-codes: E44 F65 G11 G15 (search for similar items in EconPapers)
Date: 2022-06-29
New Economics Papers: this item is included in nep-ban, nep-cis, nep-ene, nep-fmk, nep-mac, nep-pay, nep-rmg and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/345041/3/wp22008.pdf Full text for the whole work, or for a work part (application/pdf)

Related works:
Journal Article: Gold, bitcoin, and portfolio diversification: Lessons from the Ukrainian war (2023)
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:sol:wpaper:2013/345041

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/345041

Access Statistics for this paper

More papers in Working Papers CEB from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().