IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789811239618_0005.html
   My bibliography  Save this book chapter

Gold and Bitcoin are Safe-haven? Evidence from Developed and Emerging Market Indices During the COVID-19 Bear Market

In: COVID-19 Pandemic and Energy Markets Commodity Markets, Cryptocurrencies and Electricity Consumption under the COVID-19

Author

Listed:
  • Hana Belhadj
  • Salah Ben Hamad

Abstract

In this study, we compare the role and the safe-haven properties of bitcoin and gold against developed and emerging market indices during extreme market conditions as the COVID-19 crisis. We explore the effects of adding bitcoin and gold to an optimal portfolio by relying Sharpe ratio and genetic algorithm approach. We use a stochastic dominance approach to compare the performance of portfolios for each scenario. The results show that by adding bitcoin, the portfolio performance improves only during the sovereign debt crisis. However, during the non-crisis period and during the COVID-19 crisis, the portfolios with and without bitcoin do not dominate, this shows that bitcoin does not act as a safe-haven. However, our results affirm the safe-haven nature of gold during the COVID-19 crisis.

Suggested Citation

  • Hana Belhadj & Salah Ben Hamad, 2021. "Gold and Bitcoin are Safe-haven? Evidence from Developed and Emerging Market Indices During the COVID-19 Bear Market," World Scientific Book Chapters, in: Khaled Guesmi (ed.), COVID-19 Pandemic and Energy Markets Commodity Markets, Cryptocurrencies and Electricity Consumption under the COVID-19, chapter 5, pages 55-86, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811239618_0005
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789811239618_0005
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789811239618_0005
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).

    More about this item

    Keywords

    COVID-19; Vaccines; ANCOVA; Carbon Emissions; Natural Gas; Crude Oil; Market Co-Movement; Cryptocurrencies; CO2 Emissions; Financial Volatility; VIX; Bitcoin; Gold Oil Price War; Health Crisis; S&P GS Commodity Index; Consumption of Electricity; The Behavior of Electricity Consumption; Social Interactivity; Flow State; Energy Consumption Culture; Life Style; Teleworking; De-globalization; Eating Habits;
    All these keywords.

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q5 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789811239618_0005. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.