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Gold, bitcoin and the financial fear gouge

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  • Gil Cohen

Abstract

Our study investigates the hedging ability of Gold and Bitcoin to hedge against financial market crashes. We also examined the ability of the VIX fear gouge to improve the ability of those financial assets to hedge financial risks. We found a positive dependency between the current daily prices of Gold and Bitcoin with a stronger impact of Gold on Bitcoin than vice versa. We also find that in recent years (2021-2023), Gold price changes are negatively correlated to yesterday's price change of the S & P500 a day before and positively correlated to yesterday's NASDAQ price change. Â

Suggested Citation

  • Gil Cohen, 2024. "Gold, bitcoin and the financial fear gouge," Economics and Business Letters, Oviedo University Press, vol. 13(3), pages 132-140.
    • Handle: RePEc:ove:journl:aid:20543
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    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/20543
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    References listed on IDEAS

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    1. Elsayed, Ahmed H. & Gozgor, Giray & Yarovaya, Larisa, 2022. "Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices," Finance Research Letters, Elsevier, vol. 47(PB).
    2. 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.
    3. López-Cabarcos, M. Ángeles & Pérez-Pico, Ada M. & Piñeiro-Chousa, Juan & Šević, Aleksandar, 2021. "Bitcoin volatility, stock market and investor sentiment. Are they connected?," Finance Research Letters, Elsevier, vol. 38(C).
    4. Wang, Kuan-Min & Lee, Yuan-Ming, 2022. "Is gold a safe haven for exchange rate risks? An empirical study of major currency countries," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
    5. Wen, Fenghua & Tong, Xi & Ren, Xiaohang, 2022. "Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?," International Review of Financial Analysis, Elsevier, vol. 81(C).
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