1.
Journal of International Financial Markets, Institutions and Money
; 84, 2023.
Article
in English
| Scopus | ID: covidwho-2259942
ABSTRACT
The aim of the paper is twofold: first, to examine the hedging effectiveness of cryptocurrencies and cryptocurrency portfolios for European equities in bearish and bullish market conditions, and second, to contrast cryptocurrencies with gold as a safe haven asset. To this end, daily data from 2018 to 2022 were employed in a linear and nonlinear Autoregressive Distributed Lag (ARDL) framework. The findings have significant implications for investors, financial intermediaries and regulators. © 2023 Elsevier B.V.