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The hedge asset for BRICS stock markets: Bitcoin, gold or VIX

Author

Listed:
  • Syed Jawad Hussain Shahzad
  • Elie Bouri
  • Mobeen Ur Rehman
  • David Roubaud

Abstract

We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross‐quantilogram approach indicate that bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of bitcoin, gold and VIX futures has a time‐varying hedging role in some BRICS countries, which has been shaped by the COVID‐19 outbreak. Results from the conditional diversification benefits show appealing roles for the three alternative assets for investors in BRICS stock markets. However, gold appears to have higher and more stable diversification benefits in China, especially during the COVID‐19 outbreak. Conversely, VIX futures offer higher diversification benefits in Brazil, Russia, India and South Africa during the abrupt of the COVID‐19 outbreak.

Suggested Citation

  • Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & David Roubaud, 2022. "The hedge asset for BRICS stock markets: Bitcoin, gold or VIX," The World Economy, Wiley Blackwell, vol. 45(1), pages 292-316, January.
    • Handle: RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316
    DOI: 10.1111/twec.13138
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    References listed on IDEAS

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