Abstract
Calculating the hedge and safe-haven properties of gold and Bitcoin via GARCH model and quantile regression with dummy variables. We find that: (1) Neither gold nor Bitcoin can serve as a strong hedge or safe-haven for economic policy uncertainty (EPU) at the average condition. (2) Bitcoin is more responsive to EPU shocks, while gold maintains stability with smaller hedge and safe-haven coefficients. (3) In most cases, both gold and Bitcoin can act as the weak hedge and weak safe-haven against EPU during the extreme bearish and bullish markets, which two can be considered for portfolio diversification during the normal market.
| Original language | English |
|---|---|
| Pages (from-to) | 171-178 |
| Number of pages | 8 |
| Journal | Finance Research Letters |
| Volume | 31 |
| DOIs | |
| Publication status | Published - Dec 2019 |
| Externally published | Yes |
Keywords
- Bitcoin
- EPU
- Gold
- Hedge
- Quantile regression
- Safe-haven