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285181

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

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Last updated: 24 Dec 2024

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المحاسبة

Abstract

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.

DOI

10.21608/jces.2022.285181

Keywords

: Bitcoin, hedge, safe haven, diversification, DCC-GARCH model

Authors

First Name

Eman

Last Name

F. Attia

MiddleName

-

Affiliation

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

Email

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City

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Orcid

-

First Name

Ebtehal

Last Name

Orabi Awad

MiddleName

-

Affiliation

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

Email

-

City

-

Orcid

-

First Name

Heba

Last Name

Farid

MiddleName

-

Affiliation

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

Email

-

City

-

Orcid

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Volume

13

Article Issue

4

Related Issue

38874

Issue Date

2022-10-01

Receive Date

2022-10-01

Publish Date

2022-10-01

Page Start

203

Page End

223

Print ISSN

2090-3782

Article File

JCES_Volume 13_Issue 4_Pages 203-223.pdf

PDF . 680.6kB

Link

https://jces.journals.ekb.eg/article_285181.html

Detail API

https://jces.journals.ekb.eg/service?article_code=285181

Order

48

Type

المقالة الأصلية

Type Code

986

Publication Type

Journal

Publication Title

المجلة العلمية للدراسات التجارية والبيئية

Publication Link

https://jces.journals.ekb.eg/

MainTitle

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

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Type

Article

Created At

24 Dec 2024