Co-movements between Bitcoin and Gold: A wavelet coherence analysis

Kang, Sang Hoon; McIver, Ron; Hernández, José Arreola

doi:10.1016/j.physa.2019.04.124

Cited by 105 publications

(60 citation statements)

References 46 publications

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“…Arrows pointing to the right show a positive correlation and vice versa. Arrows indicate causality via phase differences between series (Kang et al 2019). If the arrows point downwards, this means the first series leads the other one; if they point upwards, this means the second series leads the other one value and number of reported cases and deaths; however, the relationship becomes positive during the later period.…”

Section: Resultsmentioning

confidence: 99%

“…Wavelet analysis is used commonly in geophysics and many other engineering branches (Torrence and Compo, 1998 ; Alexandridis and Zapranis, 2013 ; Massel, 2001 ), but it is also used in economics and finance in the recent years (Kim and In, 2005 ; Ko and Lee, 2015 ; Bouri et al 2017 ). Cryptocurrency studies widely use wavelet analysis (Kristoufek, 2015 ; Kang et al 2019 ). The wavelet analysis can transform series into continuous waves or signals with the help of some projections like Fourier transformations (Olayeni, 2016 ).…”

Section: Methodsmentioning

confidence: 99%

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The relationship between cryptocurrencies and COVID-19 pandemic

et al. 2020

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We examine the relationship between cryptocurrencies (namely Bitcoin (BTC), Ethereum (ETH), and Ripple (XRP)) and COVID-19 cases/deaths. This will help explore whether cryptocurrencies can serve as a hedge against COVID-19. The wavelet coherence analysis indicates that there is initially a negative relationship between Bitcoin and the number of reported cases and deaths; however, the relationship becomes positive during the later period. The findings for Ethereum and Ripple are also similar but with weaker interactions. This supports the hedging role of cryptocurrencies against the uncertainty raised by COVID-19.

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Section: Resultsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

The relationship between cryptocurrencies and COVID-19 pandemic

et al. 2020

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“…Importantly, COVID-19 impact on the safe-haven properties of cryptocurrencies cannot be ignored, as they comprise substantial prospects to avoid possible risk during typical days ( Bouri et al, 2017 ; Kliber et al, 2019 ; Kliber et al, 2019 , 2019 ; Symitsi and Chalvatzis, 2019 ; Qureshi et al, 2020 ; Kristjanpoller et al, 2020 ; Katsiampa et al, 2019 ; Conlon et al, 2020 ; Kang et al, 2019 ; Kajtazi and Moro, 2019 ; Wu and Le, 2018 ; Jin et al, 2019 ). Symitsi and Chalvatzis (2019) found substantial benefits of the inclusion of bitcoin in the investment portfolio.…”

Section: Introductionmentioning

confidence: 99%

Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach

et al. 2021

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The novel coronavirus (COVID-19) has tremendously oscillated the global financial markets. Consequently, investors feel pressured to find safe-haven investments during the pandemic crisis. Numerous studies have evaluated bitcoin's safe-haven properties during the COVID-19; however, the present study considered gold as a potential safe-haven for investors of renowned stock markets of Asia, Europe, and the US. The present investigation computed the ratio of gold to bitcoin (Gold_Bitcoin) and compared the safe-haven properties of gold in contrast to bitcoin. The present study analysed the Morlet Wavelet approach and found that most of the time during the COVID-19, gold investments proved to be more beneficial than bitcoin. Remarkably, the findings highlighted that the Gold_Bitcoin ratio increased in higher and lower frequencies combined with CAC40. In the long run, the return on investments in gold increased in contrast to bitcoin returns pooled with DAX30. Also, the Gold_Bitcoin ratio of the US stock market increased during the one-week and one-month cycles of January and August. Likewise, the Hang Seng Index caused the Gold_Bitcoin ratio to rise at a much higher frequency (i.e., the second half of January, the first half of February and April, and the first half of June and August), whereas IBEX35 surged Gold_Bitcoin at a lower frequency (i.e., during January, February, and August). In higher frequency bands, LSE increased the Gold_Bitcoin ratio (i.e., in February and March); nevertheless, Gold_Bitcoin showed a positive connection with FTSEMIB in the one-to-two month's frequency band (i.e., throughout January, February, and August). Interestingly, the returns on the Gold_Bitcoin ratio increased in the SSEC stock market in the high-frequency band (i.e., during March, May, and July 2020).

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“…The first strand posits the strong relationship between the Bitcoin and stock markets ( Isah and Raheem, 2019 ; Bouri et al, 2018a ). The second strand of the literature describes a weak relationship between Bitcoin and stock markets, so that Bitcoin may act as a hedge asset against the stock price movements ( Kliber et al, 2019 ; Kang et al, 2019 ; Klein et al, 2018 ; Feng et al, 2018 ; Bouri et al, 2017a , b ; Brière et al, 2015 ; Eisl et al, 2015 ; and Dyhrberg, 2015 ). Therefore, as argued by Tiwari et al (2019b) , the literature to this regard is not only immature but also not conclusive.…”

Section: Introductionmentioning

confidence: 99%

Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying

Garcia‐Jorcano

Muela

2020

Research in International Business and Finance

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In this study, we analyze the properties of Bitcoin as a diversifier asset and hedge asset against the movement of international market stock indices: S&P500 (US), STOXX50 (EU), NIKKEI (Japan), CSI300 (Shanghai), and HSI (Hong Kong). For this, we use several copula models: Gaussian, Student-t, Clayton, Gumbel, and Frank. The analysis period runs from August 18, 2011 to June 31, 2019. We found that the Gaussian and Student-t copulas are best at fitting the structure dependence between markets. Also, these copulas suggest that under normal market conditions, Bitcoin might act as a hedge asset against the stock price movements of all international markets analyzed. However, the dependence on the Shanghai and Hong Kong markets was somewhat higher. Also, under extreme market conditions, the role of Bitcoin might change from hedge to diversifier. In a time-varying copula analysis, given by the Student-t copula, we found that even under normal market conditions, for some markets, the role of Bitcoin as a hedge asset might fail on a high number of days.

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Co-movements between Bitcoin and Gold: A wavelet coherence analysis

Cited by 105 publications

References 46 publications

The relationship between cryptocurrencies and COVID-19 pandemic

The relationship between cryptocurrencies and COVID-19 pandemic

Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach

Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying

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