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
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author Syuhada, Khreshna
Suprijanto, Djoko
Hakim, Arief
author_facet Syuhada, Khreshna
Suprijanto, Djoko
Hakim, Arief
author_sort Syuhada, Khreshna
collection PubMed
description 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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spelling pubmed-84822952021-09-30 Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach Syuhada, Khreshna Suprijanto, Djoko Hakim, Arief Financ Res Lett Article 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. The Author(s). Published by Elsevier Inc. 2022-05 2021-09-27 /pmc/articles/PMC8482295/ /pubmed/34608376 http://dx.doi.org/10.1016/j.frl.2021.102471 Text en © 2021 The Author(s) Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Syuhada, Khreshna
Suprijanto, Djoko
Hakim, Arief
Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach
title Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach
title_full Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach
title_fullStr Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach
title_full_unstemmed Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach
title_short Comparing gold’s and Bitcoin’s safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach
title_sort comparing gold’s and bitcoin’s safe-haven roles against energy commodities during the covid-19 outbreak: a vine copula approach
topic Article
url 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
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