Comparing gold's and Bitcoin's safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

被引：0
|
作者：
Syuhada, Khreshna [1 ]
Suprijanto, Djoko [1 ]
Hakim, Arief [1 ]
机构：
[1] Inst Teknol Bandung, Jalan Ganesa 10, Bandung 40132, Indonesia
来源：
FINANCE RESEARCH LETTERS | 2022年 / 46卷
关键词：
Bitcoin; COVID-19; Gold; Downside risk; Safe haven; Vine copula;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.
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页数：9
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    Suprijanto, Djoko
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