Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

Abstract

This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin’s safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin’s small allocation only.

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

“…This finding is consistent with that of Choi and Shin (2021) that Bitcoin rejects the safe haven property due to financial uncertainty shocks. This may be because Bitcoin's ability to reduce the downside risk of energy commodities is limited ( Syuhada et al, 2021 ). In particular, these positive dynamic spillover effects fluctuate up and down.…”

“…They do not take into account the impact on the oil market. Syuhada et al (2021) only compare their safe haven property for energy commodities during the COVID-19. Neither considers both the stock and oil markets, which have been greatly impacted during the COVID-19 pandemic.…”

“…The contributions of this study are as follows: first, while some studies examine the safe haven characteristics of gold and Bitcoin ( Chemkha, BenSaïda, Ghorbel, et al, 2021 ; Shahzad et al, 2019 ), merely a few compare the similarity and differences between the safe haven property of gold and Bitcoin in multiple markets, namely, both oil and stock market shocks. Second, unlike some studies on the safe-haven property of gold and Bitcoin statically based on the copula or regression approach ( Long, Pei, Tian, et al, 2021 ; Syuhada, Suprijanto, & Hakim, 2021 ), we focus on the dynamic changes by relying on the TVP-VAR model rather than the static regression, thus revealing the changes in the safe haven property during the COVID-19 pandemic. Third, some previous studies do not focus on the context of the COVID-19 pandemic ( Selmi et al, 2018 ; Shahzad et al, 2019 ).…”

BİTCOİN, EMTİALAR İÇİN ÇEŞİTLENDİRİCİDEN FAZLASI MI? ARALIĞA DAYALI cDCC-GARCH İLE ANALİZİ

“…(Mensi, vd., 2019;Lin ve An, 2021) ve negatif ve anlamlı olduğunu (Salihoğlu ve Göv, 2021) tespit eden çalışmalar mevcuttur. Bitcoin'in emtialar için iyi bir çeşitlendirici olduğu sonucuyla benzer sonuçlara ulaşan çok sayıda çalışmaya ulaşmak mümkündür (Bri'ere, vd., 2015;Bouri, vd., 2017b;Klein, vd., 2018;Selmi, vd., 2018;Kurka, 2019;Mensi, vd., 2019;Bouri, vd., 2020;Das, vd., 2020;Jareno, vd., 2020;Okorie ve Lin, 2020;Bhuiyan, vd., 2021;Lin ve An, 2021;Moussa, vd., 2021;Syuhada, 2021;Urom, vd., 2021;Zhang, vd., (2021); Jiang, vd., 2022) Bitcoin içeren yatırım portföyüne emtiaları dahil etmek yatırım portföyünün çeşitlendirilmesi ve riskten korunma için etkili bir stratejidir. Benzer şekilde emtia içeren yatırım portföyüne Bitcoin'i dahil etmek de yatırım portföyünün çeşitlendirilmesi ve riskten korunma için etkin bir strateji olduğu söylenebilir.…”

Modeling the Linkages between Bitcoin, Gold, Dollar, Crude Oil, and Stock Markets: A GARCH‐EVT‐Copula Approach

“…Recently, a growing literature has focused on the relationship between bitcoin and conventional markets, which has important implications for investors and policymakers [8][9][10][11]. Bitcoin is found to be connected with commodity markets [12][13][14], foreign exchange markets [15,16], and stock markets [17][18][19]. However, the relationship between bitcoin and conventional markets is not as strong as that between the conventional markets, making it possible to use bitcoin as a hedge or safe haven for investors during market turmoil [20,21].…”