Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic

Abstract

The COVID-19 pandemic poses a serious threat to investors in the crude oil market. Furthermore, investors have an increasing need to find a safe haven in their investment portfolios when facing unprecedented risks in crude oil markets during the COVID-19 pandemic. According to a review of the literature, there are contradictory findings on which investment is the safer haven for the oil market. Therefore, this paper aims to evaluate whether bitcoin is a safer haven for the crude oil market than the commonly used gold during the COVID-19 pandemic. Three spillover measurements based on the time, and frequency domains, and a network framework are employed to quantify the return spillover effects among bitcoin, gold and three major crude oil futures markets. We divide the sample into two periods, pre-COVID-19 and post-COVID-19. The results show that bitcoin has a weak safe-haven effect on the crude oil market only over a short period, while gold maintains a good safe-haven ability for crude oil futures across various time horizons (frequencies), both before and after the outbreak of the COVID-19 pandemic. The findings of this study have important implications for policy-makers, crude oil producers and global investors. In particularly, investors cannot ignore the importance of bitcoin and gold in selecting more profitable portfolio policies when searching for safe-haven assets.

Uncovering Systematic Risk in Crypto currency Markets: An Empirical Investigation Using DCC-GARCH Model.

“…Various financial models and methods were used, considering nonlinearity, tail b e h a v i o r , a n d c o n d i t i o n a l heteroscedasticity (Alaoui et al, 2019;Bera et al, 1992;Bollinger & Pagliari, 2019;Corbet, Lucey, et al, 2018;Demir et al, 2018;Dyhrberg, 2016;Gronwald, 2021;Nascimento et al, 2019;Wolff, 1988). Other studies explored return persistence, adoption, and price behavior (Bera & Higgins, 1992;Corbet & Katsiampa, 2020;Dash, 2020;Hidajat, 2019;Wang et al, 2022;Huyen et al, 2023;Canh et al, 2019;Luu Duc Huynh, 2019;Meng & Chen, 2023;Özdemir, 2022;Quispe, 2023;Trinh & Squires, 2022). These findings have implications for policymakers, investors, and risk management.…”

Insights into Bitcoin and energy nexus. A Bitcoin price prediction in bull and bear markets using a complex meta model and SQL analytical functions

“…The scale of cryptocurrency transactions and the interest of portfolio investors for both speculative and hedging operations were accompanied by the publication of scientific studies that focused on certain aspects related (Fig. 1) to the need to regulate transactions, the status of safe haven for these financial assets or the impact of the Covid-19 crisis on this segment of the financial market Al-Shboul et al [4]; Wen et al [58]; Wang et al [57]. In addition to the strictly financial and legal aspects of these cryptocurrencies, certain studies are focused on the impact that transactions with cryptocurrencies have on sustainable development (by energy consumption, energy transition and electronic waste perspectives), considering the mining process specific to these financial assets.…”

“…Investors' interest in this financial asset has gradually made cryptocurrencies, and in particular Bitcoin, acquire the classic functions of money, namely currency of exchange, standard of value, currency of payment and Bitcoin as a medium of exchange, a unit of account and a store of value. Researchers' interest in cryptocurrencies has increased over time, being addressed specific aspects such as the relationship between financial assets-cryptocurrencies, market efficiency of the crypto market, financing risks, market efficiency Tiwari et al [49]; Șcheau et al [44]; Wu et al [59]; Aivaz et al [5], investors herding behavior, cryptocurrency as safe haven, blockchain technologies, need to regulate transactions, money laundry and financing terrorism Alexandros, [3]; Dzidzikashvili and Kheladze, [16]; Șcheau and Achim, [43]; Wang et al [57].…”