Abstract

We investigate the financial assets status (diversifier, hedge and safe haven) of Bitcoin and gold against the world and U.S. stock markets. We employ the copula-DCC approach to consider the tail dependence between Bitcoin or gold return and stock return. Our results indicate that Bitcoin is a weak hedge against the world and U.S. stock markets, while gold is a diversifier against the world stock market, but a strong hedge against the U.S. stock market. Moreover, we employ the threshold model to investigate whether there exist contagion effects between Bitcoin or gold market and stock markets. Our results show that the increase in market uncertainty weakens the role of Bitcoin as a weak hedge and Bitcoin becomes a diversifier, while it changes the role of gold as a diversifier into a hedge or a safe haven. The above results mean that although Bitcoin is called as “new gold”, the financial assets status of Bitcoin and gold are different.

Graduate School of Business Administration, Hitotsubashi University
Masao Kumamoto
Faculty of Humanities and Social Sciences, Kochi University
Juanjuan Zhuo

Economics Bulletin Vol.41(1) pp.125-136
URL: http://www.accessecon.com/Pubs/EB/2021/Volume41/EB-21-V41-I1-P12.pdf

本ウェブサイトは、一橋大学大学院経営管理研究科とみずほ証券の共同研究の成果として執筆された論文を掲載したものです。本ウェブサイトは、金融論・ファイナンス理論の分野で注目されている研究テーマや主要な先行研究に関心をお持ちの方の学習・研究の一助となることを専らの目的としています。本ウェブサイトは、一橋大学大学院経営管理研究科が運営しています。