Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: Evidence from the COVID-19 pandemics

Autor:	Kristoufek, Ladislav
Rok vydání:	2020
Předmět:	Quantitative Finance - Statistical Finance Quantitative Finance - Risk Management
Zdroj:	Frontiers in Physics 8:296 (2020)
Druh dokumentu:	Working Paper
DOI:	10.3389/fphy.2020.00296
Popis:	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 pandemics. We study the quantile correlations of Bitcoin and two benchmarks -- S\&P500 and VIX -- and we 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. Comment: 8 pages, 4 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2004.00047 Zobrazit plný text záznamu View this record from Arxiv