Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/303892 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2156092 [Year:] 2022 [Pages:] 1-21
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
Given the skyrocketing returns earned by bitcoin, it has received widespread attention as an investment asset. The shocks experienced by stock and bond markets over time and especially during the COVID-19 pandemic has led to an evaluation of bitcoin as a wealth protection asset, a role that gold has played until now. The current paper tests the hedging and safe haven properties of bitcoin in a broad portfolio of both developed and emerging markets stocks, bonds and real estate over a period of 10 years and during COVID-19 pandemic. Using a DCC-GARCH method, the study finds weak hedge and safe haven benefits of bitcoin. The results of the study establish that there is still a long way to go before bitcoin displays a strong safe haven behavior. However, there is a need for portfolio managers to become more cognizant about bitcoin given its potential to protect their portfolios.
Schlagwörter: 
Bitcoin
cryptocurrency
DCC-GARCH
diversification
portfolio
safe haven
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