The role of Bitcoin as hedge, safe haven or diversifier for USA stock markets: Evidence from the DCC-GARCH approach

نوع المستند : المقالة الأصلية

المؤلفون

1 Assistant Professor, College of Business, Accounting and Finance Department. Arab academy for Science, Technology and Maritime, Giza, Egypt. Eman.attia@aast.edu

2 Assistant professor, Accounting Department Sadat Academy for Management Sciences Ebtehal.awad@sadatacademy.edu.eg

3 Assistant Professor, College of Business, Accounting and Finance Department. Arab academy for Science, Technology and Maritime, Giza, Egypt. hebafarid@aast.edu

المستخلص

The aim of this paper is to examine the hedging, safe haven and diversification abilities of Bitcoin in the stock, energy and currency markets. To do so, we collected daily data from 03 January 2011 to 18 October 2019. The results suggest that Bitcoin is considered an effective diversification tool for the stock and energy markets. However, it is a strong hedge for the currency market. In addition, they reported that Bitcoin represents a safe haven for the stock and energy markets. American investors are advised not to include Bitcoin in their portfolios massively as a safe haven, because this leads to increased volatility.

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