Hedging capabilities of bitcoin. Is it the virtual gold?

This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used as...

Full description

Saved in:
Bibliographic Details
Published inFinance research letters Vol. 16; pp. 139 - 144
Main Author Dyhrberg, Anne Haubo
Format Journal Article
LanguageEnglish
Published San Diego Elsevier Inc 01.02.2016
Academic Press
Subjects
American dollar
Bitcoin
Currency transactions
Digital currencies
Gold
Gold markets
Hedging
Investment policy
Risk management
Stochastic models
Studies
G11 Portfolio choice and investment decisions
Gold
Hedging
G1 General financial markets
Risk management
Bitcoin
Online AccessGet full text

Cover

More Information
Summary:This paper sets out to explore the hedging capabilities of bitcoin by applying the asymmetric GARCH methodology used in investigation of gold. The results show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index. Additionally bitcoin can be used as a hedge against the American dollar in the short-term. Bitcoin thereby possess some of the same hedging abilities as gold and can be included in the variety of tools available to market analysts to hedge market specific risk.
ISSN:1544-6123
1544-6131
DOI:10.1016/j.frl.2015.10.025