Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

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...

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Detalles Bibliográficos
Autores principales: Syuhada, Khreshna, Suprijanto, Djoko, Hakim, Arief
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8482295/
https://www.ncbi.nlm.nih.gov/pubmed/34608376
http://dx.doi.org/10.1016/j.frl.2021.102471
Descripción
Sumario: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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