Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach Article Swipe
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Khreshna Syuhada
,
Djoko Suprijanto
,
Arief Rachman Hakim
·
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.1016/j.frl.2021.102471
· OA: W3203633939
YOU?
·
· 2021
· Open Access
·
· DOI: https://doi.org/10.1016/j.frl.2021.102471
· OA: W3203633939
This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.
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