An assessment of Bitcoins capabilities as a diversifier, hedge and safe haven
Master thesis
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http://hdl.handle.net/11250/2609893Utgivelsesdato
2018Metadata
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- NTNU Handelshøyskolen [1789]
Sammendrag
In this article, we use a Dynamic Conditional Correlation (DCC) model to assess whether Bitcoin acts as a diversifier, hedge or a safe haven against movements in major developed and developing markets, as well as different types of regional indices and commodities. The dataset consists of thirteen equity markets, five regional indices and ten commodities with daily data ranging from 13.09.2011 to 25.01.2018. Results show that Bitcoin acts as a hedge for most of the developing countries such as Brazil, Russia, India and South Korea, but only as an effective diversifier for developed markets, regional indices and commodities. There is no clear distinction in regard of how investors from developed and developing markets react to extreme shocks. However, results indicate that Bitcoin is a suitable safe haven asset in times of specific crisis periods.