Arbeitspapier
Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more dierent. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and nd dierences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with ight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and nd no evidence for hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally dierent properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not reect any distinctive properties of Gold other than asymmetric response in variance.
- Sprache
-
Englisch
- Erschienen in
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Series: IRTG 1792 Discussion Paper ; No. 2018-015
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Financial Econometrics
Portfolio Choice; Investment Decisions
- Thema
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BEKK
Bitcoin
CRIX
Cryptocurrency
Gold
GARCH
Conditional Correlation
Asymmetry
Long memory
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klein, Tony
Thu, Hien Pham
Walther, Thomas
- Ereignis
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Veröffentlichung
- (wer)
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Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
- (wo)
-
Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klein, Tony
- Thu, Hien Pham
- Walther, Thomas
- Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Entstanden
- 2018