Gold, bitcoin, and portfolio diversification Lessons from the Ukrainian war

被引：7
|
作者：
Oosterlinck, Kim [1 ,2 ]
Reyns, Ariane [1 ,3 ]
Szafarz, Ariane [1 ,3 ]
机构：
[1] ULB, SBS EM, CEBRIG, Brussels, Belgium
[2] CEPR, Brussels, Belgium
[3] CERMi, Brussels, Belgium
来源：
RESOURCES POLICY | 2023年 / 83卷
关键词：
Bitcoin; Gold; Diversification; Safe haven; Hedge; 2022 Ukraine war; SAFE HAVEN; NAIVE DIVERSIFICATION; HEDGE; STOCKS; OIL;
D O I：
10.1016/j.resourpol.2023.103710
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
Evidence from the 2022 Ukraine war suggests that, for diversification purposes, gold and bitcoin are complements rather than substitutes during crises. Precisely, this paper shows that (i) gold is a diversifier for European stocks, oil and T-Bills, and a hedge for US stocks, while Bitcoin is a diversifier for all the assets, and (ii) since the outbreak of the war, gold is a safe haven for both stock markets, but its correlation with oil increases, while Bitcoin has the opposite pattern. Bitcoin diversifies the oil risk better than gold does. Meanwhile, the gold/ bitcoin correlation drops during the war.
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收藏
页数：5
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