Is Bitcoin a hedge or safe haven for currencies? An intraday analysis
Urquhart, A.
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/j.irfa.2019.02.009 Abstract/SummaryBitcoin 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 an 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.
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