Research in cryptofinance has continued to consider whether Bitcoin possesses a safe haven property as traditionally defined by its correlation with other assets during times of market stress. However, this neglects other attributes of assets that are important to investors during periods of crisis. ...
Its correlation with other assets was remarkably low. Spanning tests confirm that BTC investment offers significant diversification benefits. We show that the inclusion of even a small proportion of BTCs may dramatically improve the risk-return trade-off of well-diversified portfolios. Results should ...
Gold has been a safe haven for investment for a long time owing to its low correlation with other assets, specifically during market turmoils such as inflation, financial, and political crises (Balcilar et al.2017a,b; Baur and McDermott2010; Baur2010; Boako and Alagidede2016; Nguyen et al...
It’s difficult to make this case, given the low correlation between the two assets. Consider the correlation coefficient between the monthly returns of gold and bitcoin. (A coefficient of 1.0 would mean that the two are completely correlated with each other, while a coefficient of minu...
Their volatile rise in market capitalization, growing correlation with other financial assets, and adoption in many emerging markets (Bains et al. 2021) have changed perceptions about the risks of crypto assets and the need for appropriate policies to address them. Policymakers around the world have...
the absence of correlation with other assets underscores the diversification benefits Bitcoin offered in this period. However, as time progressed and the financialization of Bitcoin occurred in December 2017, the dynamics of the cryptocurrency market underwent a fundamental change. Bitcoin and cryptocurrenci...
Along with its high volatility, Bitcoin’s value often has low correlation to other assets, according to a BlackRock report published in September. Because Bitcoin is a decentralized currency detached from major geopolitical risks and inflation, it’s a “unique diversifier,” the company said. Dev...
The few existing studies considering the relations between Bitcoin and other economic and financial assets have mostly relied on unconditional correlations (e.g. Baur et al., 2017; Brière, Oosterlinck, & Szafarz, 2015) or are limited to the hedging ability of Bitcoin (e.g. Bouri et al....
Even disregarding its hedges against geopolitical instability, Bitcoin has a notably low correlation against other asset classes. Severalstudies(Chris Burniske's book "Cryptoassets" also shows similar results) have shown Bitcoin's correlations with the stock market, bonds, and commodities such as gold...
This consisted of an analysis of the standard deviations, the growth rates of the prices of the assets involved, the percentage increase in asset prices from the origin of the bubble to its peak and its fundamental value, and, finally, the bubble index. Lastly, correlation statistical analysis...