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

Is Bitcoin really more than a diversifier? A pre-and post-COVID-19 analysis
Is Bitcoin really more than a diversifier? A pre-and post-COVID-19 analysis
We examine whether Bitcoin can act as a safe haven against adverse movements ofstock and bond assets in five major economies during the COVID-19 bear market.The empirical analyses are conducted using a Bayesian panel VAR method thatcaptures potential interaction and heterogeneity across country/region-segmentedmarkets. We find that Bitcoin in each a given economy contributes to diversificationbenefits and/or risk mitigation both within and across borders, while its role againsttraditional assets varies among different economies. We also show that the COVID-19 outbreak alters the role of Bitcoin in our target segmented markets except for theUS.
Bayesian panel VAR method, Bitcoin, COVID-19, Diversifier, Safe Haven
1544-6123
Huang, Yingying
1369f662-8cd0-4c6b-8bc4-eb25a0fa4fb3
Duan, Kun
9f37c2f9-7f41-4c71-9790-16795820e7d6
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0
Huang, Yingying
1369f662-8cd0-4c6b-8bc4-eb25a0fa4fb3
Duan, Kun
9f37c2f9-7f41-4c71-9790-16795820e7d6
Mishra, Tapas
218ef618-6b3e-471b-a686-15460da145e0

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 ofstock and bond assets in five major economies during the COVID-19 bear market.The empirical analyses are conducted using a Bayesian panel VAR method thatcaptures potential interaction and heterogeneity across country/region-segmentedmarkets. We find that Bitcoin in each a given economy contributes to diversificationbenefits and/or risk mitigation both within and across borders, while its role againsttraditional assets varies among different economies. We also show that the COVID-19 outbreak alters the role of Bitcoin in our target segmented markets except for theUS.

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Bitcoin_Safe_Heaven__FinalVersion_RevisedafterTapas_ - Accepted Manuscript
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Accepted/In Press date: 7 March 2021
e-pub ahead of print date: 10 March 2021
Keywords: Bayesian panel VAR method, Bitcoin, COVID-19, Diversifier, Safe Haven

Identifiers

Local EPrints ID: 447739
URI: http://eprints.soton.ac.uk/id/eprint/447739
ISSN: 1544-6123
PURE UUID: 1e74999f-777d-417d-820c-a19b0b2df669
ORCID for Tapas Mishra: ORCID iD orcid.org/0000-0002-6902-2326

Catalogue record

Date deposited: 19 Mar 2021 17:31
Last modified: 02 Jul 2022 04:02

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Contributors

Author: Yingying Huang
Author: Kun Duan
Author: Tapas Mishra ORCID iD

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