The Bitcoin is no longer a safe-haven asset
DOI:
https://doi.org/10.46661/rev.metodoscuant.econ.empresa.7697Keywords:
Cryptocurrency, volatility, VIX, uncertainty, safe-haven assetAbstract
Since January 2020, we have been experiencing times of uncertainty and volatility. This study aims to analyze the behavior of cryptocurrencies during periods of volatility and whether they can be considered safe-haven assets. To measure volatility, we utilize the VIX and estimate linear regression models between both variables. The results obtained, using the five most significant non-stable cryptocurrencies, reveal that the three primary ones (BTC, ETH, and BNB) do have a significant relationship with volatility. However, they do not act as safe-haven assets, as they demonstrate a negative correlation during times of uncertainty. The other two cryptocurrencies studied (XRP and ADA) do not exhibit a significant relationship. Given that cryptocurrencies can no longer be considered safe havens, a fact established in various economic literature articles, we analyze the point at which this structural change occurred by examining the correlation between the S&P500 stock index (SPX) and BTC. Employing the Chow test, we find a structural change in 2020. Before 2020, there was no significant correlation between the two variables. However, starting from that year, a positive and significant correlation is observed within a 99% confidence interval. Studying other cryptocurrencies, including those of smaller size compared to the ones analyzed, could aid in understanding the potential determinants of their behavior. Furthermore, a comparative analysis could be conducted between the behavior of larger cryptocurrencies and those of smaller sizes
Downloads
References
Aranda, D., y R. Zagone (2015). The 'Ripple' Effect: Why an Open Payments Infrastructure Matters. Consultative Group to Assist the Poor. Available at http://www.cgap.org/blog/%E2% 80%98ripple%E2%80%99-effect-why-open-payments-infrastructure-matters (accesed 8 December 2021).
Arcas, J.P. (2021). ¿Qué son las criptomonedas? ¿Por qué las redes sociales no paran de hablar del dogecoin? Técnica Contable y Financiera, 43, Editorial Wolters Kluwer, p. 118.
Arnold, M. (2018). Ripple and Swift Slug It out over Cross-Border Payments. Financial Times. Available at https://www.ft.com/content/631af8cc-47cc-11e8-8c77-ff51caedcde6 (accessed 9 December 2021).
Baur, D. G., y McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking and Finance, 34, 1886-1898.
https://doi.org/10.1016/j.jbankfin.2009.12.008
Bech, M. L., & Garratt, R. (2017). Central bank cryptocurrencies. BIS Quarterly Review September.
Böhme, R., N. Christin, B. Edelman, y T. Moore (2015). Bitcoin: Economics, Technology, and Governance. Journal of Economic Perspectives, 29, 213-238.
https://doi.org/10.1257/jep.29.2.213
Bouri, E., Molnár, P., Azzi, G., Roubaud, D. y Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198.
https://doi.org/10.1016/j.frl.2016.09.025
Bouri, E., Vo, X. V., y Saeed, T. (2021). Return equicorrelation in the cryptocurrency market: Analysis and determinants. Finance Research Letters, 38, 101497.
https://doi.org/10.1016/j.frl.2020.101497
Buterin, V. (2014). On Stake. Ethereum Blog. Available at https://blog.ethereum.org/2014/07/05/ stake/ (accessed 9 December 2021).
Corbet, S., Meegan, A., Larkin, C., Lucey, B. y Yarovaya, L. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28-34.
https://doi.org/10.1016/j.econlet.2018.01.004
Cotillard, M. (2015). Bitcoin's Block Size Debate Tests Its Community Governance. Brave New Coin. 18 August. Available at https://bravenewcoin.com/news/bitcoins-block-size-debate-tests- its-community-governance/ (accessed 9 December 2021).
Chuen, D. L. K., Guo, L., y Wang, Y. (2017). Cryptocurrency: A new investment opportunity? Journal of Alternative Investments, 20, 16-40.
https://doi.org/10.3905/jai.2018.20.3.016
Fang, L., Bouri, E., Gupta, R. y Roubaud, D. (2019). Does global economic uncertainty matter for the volatility and hedging effectiveness of Bitcoin? International Review of Financial Analysis, 61, 29-36.
https://doi.org/10.1016/j.irfa.2018.12.010
Franco, P. (2015). Understanding Bitcoin. Chichester: John Wiley y Sons Ltd.
Gandal, N., Hamrick, J. T., Moore, T., y Oberman, T. (2018). Price manipulation in the Bitcoin ecosystem. Journal of Monetary Economics, 95, 86-96.
https://doi.org/10.1016/j.jmoneco.2017.12.004
Guesmi K., Saadi S., Abid I. y Ftiti Z. (2019). Portfolio diversification with virtual currency: Evidence from bitcoin. International Review of Financial Analysis, 63, 431- 437.
https://doi.org/10.1016/j.irfa.2018.03.004
Kilian, L. (2009). Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99, 1053-1069.
https://doi.org/10.1257/aer.99.3.1053
King, T., & Koutmos, D. (2021). Herding and feedback trading in cryptocurrency markets. Annals of Operations Research, 300, 79-96.
https://doi.org/10.1007/s10479-020-03874-4
King, S., y S. Nadal (2012). PPCoin: Peer-to-Peer Crypto-Currency with Proof-of-Stake. Available at https://decred.org/research/king2012.pdf (accessed 20 November 2021)
Kurka, J. (2019). Do cryptocurrencies and traditional asset classes influence each other? Finance Research Letters, 31, 38-46.
https://doi.org/10.1016/j.frl.2019.04.018
Lo, S., y Wang, J.C., (2014). Bitcoin as money? Current Policy Perspectives No. 14-4, Federal Reserve Bank of Boston.
Mokni, K., Ajmi, A. N., Bouri, E., y Vo, X. V. (2020). Economic policy uncertainty and the Bitcoin-US stock nexus. Journal of Multinational Financial Management, 57, 100656.
https://doi.org/10.1016/j.mulfin.2020.100656
Naeem, M. A., Bouri, E., Peng, Z., Shahzad, S. J. H., y Vo, X. V. (2021). Asymmetric efficiency of cryptocurrencies during COVID19. Physica A: Statistical Mechanics and its Applications, 565, 125562.
https://doi.org/10.1016/j.physa.2020.125562
O'Leary, L. C. (2017). Targeting Detached Corporate Intermediaries in the Terrorist Supply Chain: Dial 2339/13224 for Assistance. Va. L. Rev., 103, 525.
Paule-Vianez, J., Prado Román, C. y Gómez Martínez, R. (2020). Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset? European Journal of Management and Business Economics Vol. 29 No. 3, 2020 pp. 347-363.
https://doi.org/10.1108/EJMBE-07-2019-0116
Platanakis, E., Sutcliffe, C., y Urquhart, A. (2018). Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171, 93-96.
https://doi.org/10.1016/j.econlet.2018.07.020
Selmi, R., Mensi, W., Hammoudeh, S. y Bouoiyour, J. (2018). Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74, 787-801
https://doi.org/10.1016/j.eneco.2018.07.007
Shahzad, S. J., Bouri, E., Roubaud, D., Kristoufek, L. y Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, 63, 322-330.
https://doi.org/10.1016/j.irfa.2019.01.002
Taskinsoy, J. (2019). Facebook's Project Libra: Will Libra Sputter Out or Spur Central Banks to Introduce Their Own Unique Cryptocurrency Projects? Available at https://ssrn.com/ abstract1⁄43423453 (accessed 3 November 2021).
https://doi.org/10.2139/ssrn.3423453
Urquhart, A. y Zhang, H. (2019). Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. International Review of Financial Analysis, 63, 49-57.
https://doi.org/10.1016/j.irfa.2019.02.009
Yermack, D. (2015). Is Bitcoin a real currency? D.K.C. Lee (Ed.) The Handbook of Digital Currency, Elsevier (2015). (pp. 31-44).
https://doi.org/10.1016/B978-0-12-802117-0.00002-3
Zhang, Y. J., Bouri, E., Gupta, R., y Ma, S. J. (2021). Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach. North American Journal of Economics and Finance, 55, 101296.
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 Raúl Gómez Martínez, María Luisa Medrano-García, Eladio Pascual-Pedreño, Laura Pascual-Nebreda
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Submission of manuscripts implies that the work described has not been published before (except in the form of an abstract or as part of thesis), that it is not under consideration for publication elsewhere and that, in case of acceptance, the authors agree to automatic transfer of the copyright to the Journal for its publication and dissemination. Authors retain the authors' right to use and share the article according to a personal or instutional use or scholarly sharing purposes; in addition, they retain patent, trademark and other intellectual property rights (including research data).
All the articles are published in the Journal under the Creative Commons license CC-BY-SA (Attribution-ShareAlike). It is allowed a commercial use of the work (always including the author attribution) and other derivative works, which must be released under the same license as the original work.
Up to Volume 21, this Journal has been licensing the articles under the Creative Commons license CC-BY-SA 3.0 ES. Starting from Volume 22, the Creative Commons license CC-BY-SA 4.0 is used.
