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Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic

Author

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  • Jocelyn Grira
  • Sana Guizani
  • Ines Kahloul

Abstract

Purpose - The purpose of this paper is to analyze the hedging capacity of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic. Design/methodology/approach - In order to investigate the hedging features of Bitcoin in relation to the S&P 500 index during the COVID-19 pandemic, the authors use the Granger causality applied on a daily sample of observations ranging from January 1st, 2019 to December 31st, 2020. As robustness checks, the authors use autoregressive models to test the validity of the findings. Findings - Using time series of daily data from 1st January 2019 to 31st December 2020, the results show that Bitcoin is not considered as a safe haven because it moves at the same pace as the S&P 500. As a robustness check, the authors use the exponential GARCH model and confirm our previous findings. Overall, the study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises. Originality/value - The study contributes to the debate on both COVID-19's impact on financial systems and the hypothesis of Bitcoin being a safe haven during extreme global crises.

Suggested Citation

  • Jocelyn Grira & Sana Guizani & Ines Kahloul, 2022. "Bitcoin's hedging attributes against equity market volatility: empirical evidence during the COVID-19 pandemic," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 23(5), pages 605-618, August.
    • Handle: RePEc:eme:jrfpps:jrf-01-2022-0003
    DOI: 10.1108/JRF-01-2022-0003
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    Citations

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    Cited by:

    1. Aliu, Florin, 2024. "Do infectious diseases explain Bitcoin price Fluctuations?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
    2. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.

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