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Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies

Entropy (Basel, Switzerland), 2022-10, Vol.24 (11), p.1565 [Peer Reviewed Journal]

COPYRIGHT 2022 MDPI AG ;2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;2022 by the authors. 2022 ;ISSN: 1099-4300 ;EISSN: 1099-4300 ;DOI: 10.3390/e24111565 ;PMID: 36359656

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  • Title:
    Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies
  • Author: Wang, Panpan ; Liu, Xiaoxing ; Wu, Sixu
  • Subjects: ADCC-GARCH ; American dollar ; Analysis ; Anti inflation ; bitcoin ; Currency ; Digital currencies ; Diversification ; diversifier ; Dollar (United States) ; hedge ; Hedging ; Hedging (Finance) ; Investments ; Portfolio management ; Prices ; Risk ; safe haven ; Securities markets ; Stock exchanges ; Stock markets ; Volatility
  • Is Part Of: Entropy (Basel, Switzerland), 2022-10, Vol.24 (11), p.1565
  • Description: This study employs the ADCC-GARCH approach to investigate the dynamic correlation between bitcoin and 14 major financial assets in different time-frequency dimensions over the period 2013–2021, for which the risk diversification, hedging and safe-haven properties of bitcoin for those traditional assets are further examined. The results show that, first, bitcoin is positively linked to risk assets, including stock, bond and commodity, and negatively linked to the U.S. dollar, which is a safe-haven asset, so bitcoin is closer in nature to a risk asset than a safe-haven asset. Second, the high short-term volatility and speculative nature of the bitcoin market makes its long-term correlation with other assets stronger than the short-term. Third, the positive linkage between the prices of bitcoin and risk assets increases sharply under extreme shocks (e.g., the outbreak of COVID-19 in early 2020). Fourth, bitcoin can hedge against the U.S. dollar, and in the long term, bitcoin can hedge against the Chinese stock market and act as a safe haven for the U.S. stock market and crude oil. However, for most other traditional assets, bitcoin is only an effective diversifier.
  • Publisher: Basel: MDPI AG
  • Language: English
  • Identifier: ISSN: 1099-4300
    EISSN: 1099-4300
    DOI: 10.3390/e24111565
    PMID: 36359656
  • Source: GFMER Free Medical Journals
    NCBI PubMed Central（免费）
    Coronavirus Research Database
    ROAD: Directory of Open Access Scholarly Resources
    ProQuest Central
    DOAJ Directory of Open Access Journals
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