Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230726
Authors: 
Klein, Tony
Thu, Hien Pham
Walther, Thomas
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-015
Abstract: 
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more dierent. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and nd dierences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with ight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and nd no evidence for hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally dierent properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not reect any distinctive properties of Gold other than asymmetric response in variance.
Subjects: 
BEKK
Bitcoin
CRIX
Cryptocurrency
Gold
GARCH
Conditional Correlation
Asymmetry
Long memory
JEL: 
C10
C58
G11
Document Type: 
Working Paper

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