Detail publikace

Bouri, E. & Shahzad, S.J.H. & Roubaud, D. & Kristoufek, L. & Lucey, B.: Bitcoin, gold, and commodities as safe-havens for stock indices: New insight through wavelet analysis

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Elie Bouri; Syed Jawad Hussain Shahzad; David Roubaud; Brian Lucey
Typ: Články v impaktovaných časopisech
Rok: 2020
Číslo: 0
ISSN / ISBN:
Publikováno v: Quarterly Review of Economics and Finance 77, pp. 156-164 PDF
Místo vydání:
Klíčová slova: Gold; commodities; Bitcoin; stock indices; safe haven; wavelets VaR
JEL kódy:
Citace:
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: In this study, we compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010 to 22 February 2018. We apply the wavelet coherency approach and show that the overall dependence between Bitcoin/gold/commodities and the stock markets is not very strong at various time scales, with Bitcoin being the least dependent. We study the diversification potential at the tail of the return distribution through wavelet value-at-risk (VaR) and reveal that the degree of co-movement between gold and stock returns affects the portfolio’s VaR level. Specifically, the benefits of diversification vary in the time-frequency space, with Bitcoin exhibiting a superiority over both gold and commodities. Our findings are useful for investors and financial advisors searching for the best asset among Bitcoin, gold, and commodities to hedge extreme negative movements in stock market indices, while accounting for the heterogeneity in the horizons of investors.

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