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Exploring the dynamic relationships between cryptocurrencies and other financial assets

Shaen Corbet, +4 more
- 01 Apr 2018 - 
- Vol. 165, pp 28-34
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TLDR
In this article, the authors analyse the relationship between three popular cryptocurrencies and a variety of other financial assets and find evidence of the relative isolation of these assets from the financial and economic assets.
About: 
This article is published in Economics Letters.The article was published on 2018-04-01 and is currently open access. It has received 813 citations till now. The article focuses on the topics: Diversification (finance).

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Cryptocurrencies as a financial asset: A systematic analysis

Shaen Corbet, +3 more
- 01 Mar 2019 - 
TL;DR: A systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009 is presented in this article, where the authors provide a systematic analysis of the main topics that influence the perception of cryptocurrencies as a credible investment asset class and legitimate of value.
Journal ArticleDOI

The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies

Shaen Corbet, +6 more
- 01 Jul 2020 - 
TL;DR: In this article, the volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous financial stress, and the authors provided a number of observations as to why this situation occurred.
Journal ArticleDOI

Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance

Tony Klein, +4 more
- 01 Oct 2018 - 
TL;DR: In this paper, the authors compared the conditional variance properties of Bitcoin and gold as well as other assets and found differences in their structure and concluded that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets.
Journal ArticleDOI

Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

Thomas Conlon, +1 more
- 01 Jul 2020 - 
TL;DR: It is shown that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops, and cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.
Journal ArticleDOI

Is Bitcoin a better safe-haven investment than gold and commodities?

Syed Jawad Hussain Shahzad, +5 more
- 01 May 2019 - 
TL;DR: In this article, a new definition of a weak and strong safe-haven within a bivariate cross-quantilogram approach was proposed, which considers the lowest tails of both the safe-avenance asset and the stock index.
References
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Journal ArticleDOI

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold, +2 more
- 01 Jan 2012 - 
TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.
Journal ArticleDOI

Bitcoin, gold and the dollar – A GARCH volatility analysis

Anne Haubo Dyhrberg
- 01 Feb 2016 - 
TL;DR: In this article, the authors explored the financial asset capabilities of bitcoin using GARCH models and found that bitcoin can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages.
Journal ArticleDOI

Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin

Eng-Tuck Cheah, +1 more
- 01 May 2015 - 
TL;DR: In this article, economic and econometric modelling of Bitcoin prices is presented. And they show that Bitcoin exhibits speculative bubbles and find empirical evidence that the fundamental price of Bitcoin is zero.
Journal ArticleDOI

The inefficiency of Bitcoin

Andrew Urquhart
- 01 Nov 2016 - 
TL;DR: In this article, the authors study the market efficiency of Bitcoin and find that returns are significantly inefficient over the full sample, but when split into two subsample periods, some tests indicate that Bitcoin is efficient in the latter period.
Journal ArticleDOI

On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?

Elie Bouri, +4 more
- 01 Feb 2017 - 
TL;DR: This paper used a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index.
Related Papers (5)

Bitcoin, gold and the dollar – A GARCH volatility analysis

Anne Haubo Dyhrberg
- 01 Feb 2016 - 

On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?

Elie Bouri, +4 more
- 01 Feb 2017 - 

The inefficiency of Bitcoin

Andrew Urquhart
- 01 Nov 2016 - 

Bitcoin: Medium of Exchange or Speculative Assets?

Dirk G. Baur, +2 more
- 21 Dec 2017 - 

Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin

Eng-Tuck Cheah, +1 more
- 01 May 2015 - 
Frequently Asked Questions (9)
Q1. What are the contributions in "Exploring the dynamic relationships between cryptocurrencies and other financial assets" ?

Bouri et al. this paper analyzed the relationship between three popular cryptocurrencies and a variety of other financial assets and found that cryptocurrencies may offer diversification benefits for investors with short investment horizons. 

Further research is needed to observe the behaviour of cyrptocurrencies with respect to monetary policy and regulatory arbitrage. 

Cryptocurrency markets have recently experienced increased growth leading to some suggesting that they may be seen as a new category of investment assets. 

In this note the authors examine return and volatility transmission across three cryptocurrencies and a variety of other financial assets. 

Among all cases, the highest values of pairwise indexes are found for price spillovers from FX to Bitcoin (4.18%), followed by Bond to Bitcoin (2.75%). 

Examining for example Bitcoin to Ripple suggests that the increased price for Ripple has been driven by the rapid growth of Bitcoin. 

the focus of the research has expanded from the technical aspects and stylised facts of cryptocurrency markets (e.g. Dwyer [2015]; Bariviera et al. [2017]) to hedging and safe haven properties of cryptocurrencies (e.g.1The authors wish to thank Thomas Kreilik, Institute for Economic Studies, Charles University Prague, for help with the r Package FreqencyConnectPreprint submitted to Economics Letters December 5, 2017*Manuscript Click here to view linked ReferencesBouri et al. [2017];Bouri et al. [2017]), return-volume relationships (e.g. M. et al. [2017]), speculation (e.g., Yermack, 2013; Glaser et al., 2014; Blau [2017] ) and market efficiency (e.g., Urquhart [2016]; Bariviera [2017]). 

For the period from October 2016 to October 2017 the market capitalisation of the oldest and best known, Bitcoin, increased from 10.1 to 79.7 billion, while the price jumped from 616 to 4800 US dollars. 

A number of papers ( [Dyhrberg, 2016b], [Dyhrberg, 2016a], [Bouri et al., 2017], [Bouri et al., 2017] and [Bouri et al., 2017] Dyhrberg [2016a] ) have analysed the ability of cryptocurrencies, usually Bitcoin, to act as safe havens or hedges.