Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach

We test the suitability of Gold and Bitcoin as safe-haven instruments in the backdrop of the Covid-19 related equity market meltdown by implementing the newly proposed Wavelet Quantile Correlation. We employ daily returns of Bitcoin, Gold, DJIA, CAC40, NSE50, S&P 500, NASDAQ, and EUROSTOXX from...

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Autores principales: Kumar, Anoop S, Padakandla, Steven Raj
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8802136/
https://www.ncbi.nlm.nih.gov/pubmed/35125976
http://dx.doi.org/10.1016/j.frl.2022.102707
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author Kumar, Anoop S
Padakandla, Steven Raj
author_facet Kumar, Anoop S
Padakandla, Steven Raj
author_sort Kumar, Anoop S
collection PubMed
description We test the suitability of Gold and Bitcoin as safe-haven instruments in the backdrop of the Covid-19 related equity market meltdown by implementing the newly proposed Wavelet Quantile Correlation. We employ daily returns of Bitcoin, Gold, DJIA, CAC40, NSE50, S&P 500, NASDAQ, and EUROSTOXX from 05–01–2015 to 31–12–2020. Our results show that Gold consistently exhibits safe haven properties for all the markets except NSE in the long and short run, while Bitcoin provided mixed results. We find that Gold can act as an effective hedge and diversifier as well.
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spelling pubmed-88021362022-01-31 Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach Kumar, Anoop S Padakandla, Steven Raj Financ Res Lett Article We test the suitability of Gold and Bitcoin as safe-haven instruments in the backdrop of the Covid-19 related equity market meltdown by implementing the newly proposed Wavelet Quantile Correlation. We employ daily returns of Bitcoin, Gold, DJIA, CAC40, NSE50, S&P 500, NASDAQ, and EUROSTOXX from 05–01–2015 to 31–12–2020. Our results show that Gold consistently exhibits safe haven properties for all the markets except NSE in the long and short run, while Bitcoin provided mixed results. We find that Gold can act as an effective hedge and diversifier as well. Elsevier Inc. 2022-06 2022-01-31 /pmc/articles/PMC8802136/ /pubmed/35125976 http://dx.doi.org/10.1016/j.frl.2022.102707 Text en © 2022 Elsevier Inc. All rights reserved. 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
Kumar, Anoop S
Padakandla, Steven Raj
Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
title Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
title_full Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
title_fullStr Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
title_full_unstemmed Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
title_short Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
title_sort testing the safe-haven properties of gold and bitcoin in the backdrop of covid-19: a wavelet quantile correlation approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8802136/
https://www.ncbi.nlm.nih.gov/pubmed/35125976
http://dx.doi.org/10.1016/j.frl.2022.102707
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