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Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective

Author

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  • Wang, Pengfei
  • Zhang, Wei
  • Li, Xiao
  • Shen, Dehua

Abstract

Current literature on the hedge or safe haven property of cryptocurrency focuses exclusively on a few number of the cryptocurrency. This paper gives a detailed observation by including 973 forms of cryptocurrency and 30 international indices from a dynamic perspective. The empirical results mainly show that: (1) generally, cryptocurrency is a safe haven but not a hedge for most of the international indices; (2) the safe haven property is more pronounced in subgroups with larger market capitalization and higher liquidity; and (3) the safe haven property is more pronounced in developed markets.

Suggested Citation

  • Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:1-18
    DOI: 10.1016/j.frl.2019.04.031
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    References listed on IDEAS

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    More about this item

    Keywords

    Cryptocurrency; Hedge; Safe haven; Dynamic perspective; Developed and developing markets; Liquidity;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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