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Cryptocurrencies as hedges and safe-havens for US equity sectors

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  • Bouri, Elie
  • Hussain Shahzad, Syed Jawad
  • Roubaud, David

Abstract

We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggerate US equity index and selected sectors. As for Ethereum, Dash and Nem, they are hedges for few equity sectors. Our findings help investors in improving their ability to offset equity losses with new cryptocurrencies.

Suggested Citation

  • Bouri, Elie & Hussain Shahzad, Syed Jawad & Roubaud, David, 2020. "Cryptocurrencies as hedges and safe-havens for US equity sectors," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 294-307.
    • Handle: RePEc:eee:quaeco:v:75:y:2020:i:c:p:294-307
    DOI: 10.1016/j.qref.2019.05.001
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    References listed on IDEAS

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    More about this item

    Keywords

    Bitcoin; Cryptocurrencies; Hedge; Safe-haven; US equity sectors; Quantiles;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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