Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

被引：45
|
作者：
Kristoufek, Ladislav [1 ,2 ]
机构：
[1] Charles Univ Prague, Inst Econ Studies, Fac Social Sci, Prague, Czech Republic
[2] Czech Acad Sci, Inst Informat Theory & Automat, Prague, Czech Republic
来源：
FRONTIERS IN PHYSICS | 2020年 / 8卷
关键词：
Bitcoin; safe haven; extreme events; COVID-19; coronavirus; HEDGE; GOLD;
D O I：
10.3389/fphy.2020.00296
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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 pandemic. We study the quantile correlations of Bitcoin and two benchmarks-the S&P 500 and VIX-and 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.
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页数：6
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