Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

Jocelyn Grira, Sana Guizani, Ines Kahloul

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

Abstract

Purpose: The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic. Design/methodology/approach: In order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings. Findings: Using time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises. Originality/value: The study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

Original languageEnglish
Pages (from-to)605-618
Number of pages14
JournalJournal of Risk Finance
Volume23
Issue number5
DOIs
Publication statusPublished - Oct 31 2022
Externally publishedYes

Keywords

  • Bitcoin
  • COVID-19
  • Granger causality in the sense of Toda and Yamamoto (1995)
  • Hedging

ASJC Scopus subject areas

  • Finance

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