2021
DOI: 10.3390/risks9090154
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Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis

Abstract: Volatility and investor sentiment have been factors for the slow adoption rate of Bitcoin (BTC) that was first recognized in 2008 as a potential store of value, investment vehicle and a hedge alternative to gold during a recession. The purpose of this applied mathematics study will use a multivariate DCC GARCH model. Bitcoin holds its ground in volatility. This study examines Bitcoin as an investment and hedge alternative to gold as well as the major stock index. To perform the research to explore the viabilit… Show more

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Cited by 17 publications
(14 citation statements)
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“…They have utility but can never be a Store of Value (SoV) as they are not completely scarce. Scarce objects have conservation energy, such as what we observe in thermodynamics (Rudolf et al 2021). Bitcoin's scarcity arises from two dynamics: the first-order dynamic is a decentralised network running on thousands of nodes, and therefore, it is impossible to change the operation in the network without taking over the whole network (massive inertia), and the second-order dynamic is cloning which has failed, owing to Bitcoin's multiple network effects (Böhme et al 2015;Rudolf et al 2021).…”
Section: Literature Reviewmentioning
confidence: 74%
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“…They have utility but can never be a Store of Value (SoV) as they are not completely scarce. Scarce objects have conservation energy, such as what we observe in thermodynamics (Rudolf et al 2021). Bitcoin's scarcity arises from two dynamics: the first-order dynamic is a decentralised network running on thousands of nodes, and therefore, it is impossible to change the operation in the network without taking over the whole network (massive inertia), and the second-order dynamic is cloning which has failed, owing to Bitcoin's multiple network effects (Böhme et al 2015;Rudolf et al 2021).…”
Section: Literature Reviewmentioning
confidence: 74%
“…For instance, a simple Google search of the US Dollar will not impact its volume and value but can influence the prices of Bitcoin or any other cryptocurrency (Aalborg et al 2019). As per Rudolf et al (2021), traditional stores of value are valuable due to their scarcity, when large networks of people seek them, or their ability to generate income. They have utility but can never be a Store of Value (SoV) as they are not completely scarce.…”
Section: Literature Reviewmentioning
confidence: 99%
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“…Using a time-varying volatility model suitable for the variables of interest (see Rudolf et al, 2021), we find evidence in support of the hedging potential of Bitcoin for the Asian Islamic stocks during the COVID-19 pandemic. The results supporting this conclusion complement the grow-ing importance of the Asian economy and Islamic financial markets.…”
Section: Introductionmentioning
confidence: 70%