Detail publikace

Shahzad, S.J.H. & Bouri, E. & Roubaud, D. & Kristoufek, L.: Hedging assets for G7 stock markets: Gold versus Bitcoin

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Shahzad, Syed Jawad Hussain; Bouri, Elie; Roubaud, David
Typ: Články v impaktovaných časopisech
Rok: 2019
Číslo: 0
ISSN / ISBN:
Publikováno v: (forthcoming) Economic Modelling PDF
Místo vydání:
Klíčová slova: Gold; Bitcoin; G7 stock indices; safe haven; hedging; conditional diversification benefits
JEL kódy:
Citace:
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: We compare gold and Bitcoin for the G7 stock markets, finding that gold and Bitcoin have distinct safe haven and hedging characteristics. Gold is an undisputable safe haven and hedge for several G7 stock indices, whereas Bitcoin takes these two functions in Canada. The out-of-sample hedging effectiveness of gold is much superior to that of Bitcoin. Furthermore, we find that the conditional diversification benefits offered by gold to equity investments in the G7 markets are comparatively much higher and more stable than those of Bitcoin, especially in the lower return quantiles, i.e., when both the stock and gold markets are in a bearish state. Implications are further discussed.

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