ABSTRACT
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.
ABSTRACT
We test the safe-haven property of Gold and Bitcoin against equity markets (NSE50, DJIA, SSE, and CAC40) in the backdrop of Covid-19. We employ two multivariate volatility models, namely DCC and cDCC GARCH for analytical purposes. We find both Gold and Bitcoin to be negligibly correlated with equity returns most of the time. However, we observe a positive correlation during the initial phase of Covid-19. The results suggest that both Gold and Bitcoin exhibit the safe-haven property overall. However, during Covid-19, the safe-haven property of both Bitcoin and Gold is found to be partially compromised. We find Gold to exhibit relatively better safe-haven properties.