Is Bitcoin a hedge or safe haven for currencies? An intraday analysis

Urquhart, Andrew; Zhang, Hanxiong

doi:10.1016/j.irfa.2019.02.009

Cited by 401 publications

(142 citation statements)

References 45 publications

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“…Altogether, these facts, and especially the last one, provide strong support for the hypothesis [48] of the gradual emergence of a new and at least partially independent market, analogous to the global foreign exchange (Forex) market, wherein cryptocurrencies are traded in a self-contained manner. In more practical terms, this means that not only the Bitcoin but even the whole emerging crypto-market may, eventually, offer 'a hedge or safe haven' for currencies [59], gold and commodities [60].…”

Section: Discussionmentioning

confidence: 99%

Signatures of the Crypto-Currency Market Decoupling from the Forex

et al. 2019

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Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between July 1, 2016 and December 31, 2018. It is shown that the multiscaling characteristics of the exchange rate fluctuations related to the cryptocurrency market approach those of the Forex. This, in particular, applies to the BTC/ETH exchange rate, whose Hurst exponent by the end of 2018 started approaching the value of 0.5, which is characteristic of the mature world markets. Furthermore, the BTC/ETH direct exchange rate has already developed multifractality, which manifests itself via broad singularity spectra. A particularly significant result is that the measures applied for detecting cross-correlations between the dynamics of the BTC/ETH and EUR/USD exchange rates do not show any noticeable relationships. This may be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.

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Section: Discussionmentioning

confidence: 99%

Signatures of the Crypto-Currency Market Decoupling from the Forex

et al. 2019

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“…The safe-haven status of Bitcoin is one of its cornerstones and narratives in the financial part of the crypto-community, and lately, it has been a popular topic in the scientific literature as well [8][9][10][11][12]. However, its validity had been, by definition, very difficult to properly discuss and test, as empirical tests had lacked the essential part of the safe-haven definition-financial markets in distress.…”

Section: Introductionmentioning

confidence: 99%

Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Krištoufek

2020

Front. Phys.

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Bitcoin being a safe-haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e., approximately since 2013, there has been no severe situation on the financial markets globally to prove or disprove this story until the COVID-19 pandemic. We study the quantile correlations of Bitcoin and two benchmarks-the S&P 500 and VIX-and make comparison with gold as the traditional safe-haven asset. The Bitcoin safe haven story is shown and discussed to be unsubstantiated and far-fetched, while gold comes out as a clear winner in this contest even when a broader cryptocurrency index (CRIX) is considered.

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“…A number of recent empirical papers used the DCC methodology to explore the volatility dynamics of Bitcoin and other coins, e.g. Bouri et al (2017) or Urquhart and Zhang (2019).…”

Section: The Dynamic Conditional Correlation Modelsmentioning

confidence: 99%

Crypto assets: the role of ICO tokens within a well-diversified portfolio

Adhami

Guégan

2019

J. Ind. Bus. Econ.

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This paper reexamines the discussion on blockchain technology, crypto assets and ICOs, providing also evidence that in crypto markets there are currently two classes of assets, namely standalone cryptocurrencies (or 'coins') and tokens, which result from an ICO and are intrinsically linked to the performance of the issuing company or venture. While the former have been arguments of various empirical studies regarding their price dynamics and their effect on the variance of a well-diversified portfolio, no such study has been done to analyze listed tokens, which in our sample are over 700 and with a backing of about $17.3Bn from their respective ICOs. Therefore, investors interested in optimizing their portfolios should first assess the diversifier, hedge or safe haven role of tokens vis-àvis traditional assets, on top of 'coins', in order to sensibly use this new asset class. After constructing various indices to represent both the token asset class as a whole and its sub-classes, we model dynamic conditional correlations among all the assets in our sample to obtain time-varying correlations for each token-asset pair. We find that tokens are effective diversifiers but not a hedge or a safe haven asset. We evidence that tokens retain important systematic differences with the two other asset classes to which they are most generally compared to, namely 'coins' and equities.

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Is Bitcoin a hedge or safe haven for currencies? An intraday analysis

Cited by 401 publications

References 45 publications

Signatures of the Crypto-Currency Market Decoupling from the Forex

Signatures of the Crypto-Currency Market Decoupling from the Forex

Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

Crypto assets: the role of ICO tokens within a well-diversified portfolio

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