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 journalJournal Articlepeer-review

    4 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 - 31 Oct. 2022

    Keywords

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

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