What is a Hedge or Safe Haven Asset for Bitcoin Investors?

DOI

Bibliographic Information

Other Title
  • どの資産がビットコイン投資家にとってヘッジあるいはSafe Havenになるのか？

Description

<p>This paper investigates a hedge and safe haven asset for Bitcoin investors. Bitcoin has been receiving high attention from finance investors because of its high upside return and volatility. The recent finance literature focused upon Bitcoin characteristics as an alternative asset. We take Bitcoin investors’ perspectives and consider how to manage the high volatility of Bitcoin. We employ the definitions of hedge and safe haven based on the finance literature and conduct the respective statistical analyses. Our definition distinguishes a weak and strong hedge (safe haven). Our empirical results show that traditional assets such as global equities and global bonds are weak hedges for Bitcoin. Furthermore, we observe that gold acts as a strong hedge against Bitcoin during an extreme bearish Bitcoin market, although the impact is marginal. There is no strong safe haven asset identified in our data period. Our results imply that the fundamental value of Bitcoin is still unclear, and it is difficult for Bitcoin investors to manage their portfolio risk.</p>

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Keywords

Details 詳細情報について

  • CRID
    1390282763118511104
  • NII Article ID
    130007658527
  • DOI
    10.11517/pjsai.jsai2019.0_2o3j1303
  • ISSN
    27587347
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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