| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D.,
|
| Type: |
Articles in journals with impact factor |
| Year: |
2020 |
| Number: |
0 |
| ISSN / ISBN: |
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| Published in: |
Frontiers in Physics 8:296 arXiv PDF |
| Publishing place: |
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| Keywords: |
Bitcoin, safe haven, extreme events, COVID-19, coronavirus |
| JEL codes: |
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| Suggested Citation: |
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| Grants: |
PRIMUS/19/HUM/17 2019-2021 Behavioral finance and macroeconomics: New insights for the mainstream
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| Abstract: |
Bitcoin being a safe haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e. approximately since 2013, there has been no severe situation on the financial markets globally to prove or disprove this story until the COVID-19 pandemics. We study the quantile correlations of Bitcoin and two benchmarks -- S\&P500 and VIX -- and we make comparison with gold as the traditional safe haven asset. The Bitcoin safe haven story is shown and discussed to be unsubstantiated and far-fetched, while gold comes out as a clear winner in this contest even when a broader cryptocurrency index (CRIX) is considered. |
