Do conventional currencies hedge cryptocurrencies?

Syed Jawad Hussain Shahzad, Faruk Balli, Muhammad Abubakr Naeem, Mudassar Hasan, Muhammad Arif

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)

Abstract

We examine the hedge and safe-haven properties of conventional currencies for four cryptocurrencies — Bitcoin, Ethereum, Ripple, and Litecoin. We extend the Baur and McDermott (2010) framework, where the safe-haven role is examined against reverse explosiveness in cryptocurrency prices. Our results suggest that the Japanese yen is the most consistent hedger for cryptocurrencies, followed by the British pound, Chinese yuan, and the Euro. All currencies, except the Euro, perform a safe-haven role for Bitcoin and its fork, Litecoin. The safe-haven potential of the Euro, Japanese Yen, and Chinese Yuan is also confirmed during the negative explosiveness periods of the cryptocurrency market.

Original languageEnglish
Pages (from-to)223-228
Number of pages6
JournalQuarterly Review of Economics and Finance
Volume85
DOIs
Publication statusPublished - Aug 2022
Externally publishedYes

Keywords

  • Cryptocurrency
  • Currency
  • Hedge
  • Safe-haven

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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