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
Series: IRTG 1792 Discussion Paper ; No. 2018-015

Klassifikation
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Financial Econometrics
Portfolio Choice; Investment Decisions
Thema
BEKK
Bitcoin
CRIX
Cryptocurrency
Gold
GARCH
Conditional Correlation
Asymmetry
Long memory

Ereignis
Geistige Schöpfung
(wer)
Klein, Tony
Thu, Hien Pham
Walther, Thomas
Ereignis
Veröffentlichung
(wer)
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

Dieses Objekt wird bereitgestellt von:
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

Ähnliche Objekte (12)