Is Bitcoin a hedge or safe haven for currencies? An intraday analysis

Abstract

Bitcoin has attracted a wealth of attention in the media and by investors alike and this paper investigates whether Bitcoin can act as a hedge or safe haven against world currencies. Contrary to previous studies, we assess the relationship between Bitcoin and currencies at the hourly frequency since Bitcoin experiences quite large volatility throughout the day. We employ a ADCC model and find that Bitcoin can be an intraday hedge for the CHF, EUR and GBP, but acts as a diversifier for the AUD, CAD and JPY. We also implement the non-temporal Hansen (2000) test to examine the safe haven properties of Bitcoin and find that Bitcoin is a safe haven during periods of extreme market turmoil for the CAD, CHF and GBP. Therefore our results indicate that Bitcoin does act as an intraday hedge, diversifier and safe haven for certain currencies, which will be of great interest to currency, cryptocurrency and high frequency investors alike.

Metadata

Item Type:	Article
Authors/Creators:	Urquhart, A. Zhang, H. https://orcid.org/0000-0002-8727-4906
Copyright, Publisher and Additional Information:	© 2019 Elsevier. This is an author produced version of a paper subsequently published in International Review of Financial Analysis. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords:	Safe haven; Hedge; Bitcoin; High frequency; Dynamic conditional correlation
Dates:	Published: 1 May 2019 Published (online): 25 February 2019 Accepted: 22 February 2019
Institution:	The University of Sheffield
Academic Units:	The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield)
Depositing User:	Symplectic Sheffield
Date Deposited:	21 Mar 2019 12:25
Last Modified:	25 Aug 2020 00:38
Status:	Published
Publisher:	Elsevier
Refereed:	Yes
Identification Number:	10.1016/j.irfa.2019.02.009
Open Archives Initiative ID (OAI ID):	oai:eprints.whiterose.ac.uk:143976

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Is Bitcoin a hedge or safe haven for currencies? An intraday analysis

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