Is Bitcoin really more than a diversifier? A pre-and post-COVID-19 analysis

Huang, Yingying, Duan, Kun and Mishra, Tapas (2021) Is Bitcoin really more than a diversifier? A pre-and post-COVID-19 analysis. Finance Research Letters, 43, [102016]. (doi:10.1016/j.frl.2021.102016).

Record type: Article

Abstract

We examine whether Bitcoin can act as a safe haven against adverse movements of stock and bond assets in five major economies during the COVID-19 bear market. The empirical analyses are conducted using a Bayesian panel VAR method that captures potential interaction and heterogeneity across country/region-segmented markets. We find that Bitcoin in each target economy contributes to diversification benefits and/or risk mitigation both within and across borders, while its sheltering role against traditional assets varies among different economies. Further, we show that the COVID-19 outbreak has altered the role of Bitcoin in various segmented markets except for the US.

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Accepted/In Press date: 7 March 2021

e-pub ahead of print date: 10 March 2021

Published date: November 2021

Additional Information: Funding Information: Kun Duan gratefully acknowledges the financial support from the Fundamental Research Funds for the Central Universities (HUST: 2020WKYXQN006 ). Publisher Copyright: © 2021 Elsevier Inc.

Keywords: Bayesian panel VAR method, Bitcoin, COVID-19, Diversifier, Safe Haven