Can Bitcoin be a diversifier, hedge or safe haven tool?

Figures & data

Table 1. Descriptive statistics this table reports descriptive statistics of daily returns from 13 September 2011 to 25 January 2018

	Mean	Max	Min	Std. Dev
Bitcoin (in USD)	0.0046	0.4848	−0.6639	0.0611
Developed markets
USA	0.0005	0.0424	−0.0542	0.0082
UK	0.0002	0.0394	−0.0478	0.0089
Japan	0.0006	0.0743	−0.0825	0.0130
Italy	0.0003	0.0639	−0.1333	0.0156
Germany	0.0006	0.0534	−0.0707	0.0119
France	0.0004	0.0558	−0.0838	0.0120
Canada	0.0002	0.0424	−0.0381	0.0077
Developing markets
Brazil	0.0004	0.0598	−0.0921	0.0129
Russia	0.0001	0.0691	−0.0990	0.0128
India	0.0005	0.0374	−0.0610	0.0094
China	0.0002	0.0560	−0.0887	0.0138
South Korea	0.0002	0.0490	−0.0590	0.0084
Zimbabwe	0.0005	0.1445	−0.2222	0.0193
Regional Indices
World	0.0004	0.0438	−0.0503	0.0076
BRIC	0.0002	0.0587	−0.0722	0.0110
Asia	0.0003	0.0435	−0.0413	0.0088
Pacific	0.0003	0.0509	−0.0476	0.0096
Europe	0.0003	0.0585	−0.0918	0.0112
Commodities
Oil	−0.0002	0.1129	−0.1113	0.0209
Gold	−0.0002	0.0543	−0.1016	0.0101
LME	−0.0001	0.0572	−0.0858	0.0114
Agriculture	−0.0003	0.0453	−0.0538	0.0094
World Commodities	−0.0002	0.0548	−0.0659	0.0115
Energy	−0.0002	0.1837	−0.1743	0.0173
Cotton	−0.0002	0.0556	−0.0713	0.0132
Corn	−0.0004	0.0738	−0.0793	0.0151
Coffee	−0.0005	0.1085	−0.0642	0.0198
All Wheat	−0.0003	0.0743	−0.0678	0.0162

Table 2. Diversifier, hedge and safe haven capabilities of Bitcoin

	Hedge(c0)	1% quantile(c1)	5% quantile(c2)	10% quantile(c3)
Panel A: local investors’ perspective
Developed markets
USA	0.01060***	−0.02655***	−0.00555	0.00331
UK	0.02989***	−0.00146	0.00140	−0.00049
Japan	0.05298***	0.00745	−0.00514	0.00030
Italy	0.01590***	0.00264	0.00220	0.00210
Germany	0.02933***	0.00394	0.00777	−0.00687
France	0.03475***	0.02247	0.00155	−0.00510
Canada	0.03928***	0.00505	−0.00012	−0.00187
Developing markets
Brazil	−0.00078	−0.00479	−0.00234	0.00429
Russia	−0.02361***	0.00822	−0.00071	0.00026
India	−0.03971***	0.01328	−0.01297**	0.00895**
China	0.03762***	−0.00185	0.00292	−0.00220
South Korea	−0.03357***	−0.00662	0.00457	0.00191
Zimbabwe	0.01463***	−0.02792**	0.00470	−0.00181
Panel B: US investors’ perspective
Regional stock indices
World	0.03036***	−0.02076***	−0.00063	0.00266
BRIC	0.05891***	−0.01540***	0.00150	−0.00304***
Asia	0.02877***	−0.00131	0.00029	−0.00018
Pacific	0.03089***	−0.00581***	−0.00058	−0.00116**
Europe	0.03868***	0.00653	0.00634**	−0.00466**
Commodities
Oil	0.01074***	0.00160	−0.00551*	0.00436**
Gold	0.07261***	0.00154	−0.00318**	0.00175**
LME	0.07392***	−0.01916	0.01037	0.00216
Agriculture	0.02877***	−0.00112	−0.00085	0.00169***
World Commodity	0.02106***	−0.00289**	−0.00010	0.00074
Energy	0.02601***	−0.00057	0.00050	0.00017
Cotton	0.03303***	−0.00085	0.00293	−0.00140
Corn	0.02002***	−0.00394	0.00128	0.00151
Coffee	0.00189***	−0.00086	0.00353	−0.00134
All Wheat	0.01399***	−0.00669**	0.00084	−0.00091

This table reports the estimation results on the diversification, hedge and safe haven capabilities of Bitcoin from Equation (5). ***, **, * indicate statistical significance at the 1% level, 5% and 10% level, respectively.

Table 3. Safe haven capability of Bitcoin

	Hedge(c0)	US election(c1)	Brexit(c2)	China(c3)
Panel A: Entire period
Developed markets
USA	0.01204***	−0.03495***	−0.04217***	0.01010*
UK	0.03030***	−0.00160	−0.00992**	−0.00456
Japan	0.05462***	0.00218	−0.04248***	−0.03183***
Italy	0.01553***	−0.00199	−0.00084	0.03165***
Germany	0.03093***	−0.01438**	−0.03754***	−0.02305***
France	0.03709***	−0.02392***	−0.05003***	−0.02934***
Canada	0.03960***	−0.00447*	−0.00395	−0.01002***
Developing markets
Brazil	−0.00022	−0.00659	0.00009	−0.00500
Russia	−0.02345***	−0.00100*	−0.00107**	−0.00100*
India	−0.03919***	−0.00439	−0.00076	−0.00043
China	0.03890***	−0.00368	−0.03311***	−0.01855***
South Korea	−0.02930***	−0.04271***	−0.08096***	−0.03398***
Zimbabwe	0.01430***	0.00819	−0.01313*	0.00883
	Hedge	US election	Brexit	China	Observations	R-squared
Panel B: Pre-crisis
Developed markets
USA	0.0109***	−0.0367***	−0.0321***	0.0279***	1,651	0.029
UK	0.0301***	−0.00378	−0.0117**	0.000962	1,651	0.003
Japan	0.0532***	0.0147**	−0.0216***	−0.0225***	1,651	0.018
Italy	0.0155***	−3.20e-05	0.0167***	0.0450***	1,651	0.062
Germany	0.0298***	−0.0156	−0.0423***	0.000855	1,651	0.013
France	0.0355***	−0.0263**	−0.0600***	0.00387	1,651	0.015
Canada	0.0393***	−0.00630*	−0.00497	−0.00274	1,651	0.003
Developing markets
Brazil	−0.00041	−0.00363	0.00210	−0.00697	1,651	0.001
Russia	−0.0231***	−0.000924	−0.000922	−0.000919	1,650	0.003
India	−0.0393***	−0.00419	−0.000726	−0.00076	1,651	0.000
China	0.0382***	0.00669	−0.0471***	−0.0185***	1,651	0.045
South Korea	−0.0317***	−0.0616***	−0.0906***	0.0302**	1,651	0.049
Zimbabwe	0.0146***	0.0143	−0.0193*	−0.0134	1,651	0.004
Panel C: post-crisis
Developed markets
USA	0.0114***	−0.0313***	−0.0502***	−0.00623	1,651	0.032
UK	0.0301***	0.000784	−0.00854	−0.0103*	1,651	0.003
Japan	0.0541***	−0.00831	−0.0587***	−0.0408***	1,651	0.076
Italy	0.0163***	−0.00468	−0.0189***	0.0172***	1,651	0.019
Germany	0.0301***	−0.0115	−0.0302***	−0.0455***	1,651	0.019
France	0.0360***	−0.0191	−0.0379***	−0.0611***	1,651	0.019
Canada	0.0394***	−0.00199	−0.00266	−0.0170***	1,651	0.013
Developing markets
Brazil	−0.00032	−0.00944	−0.00292	−0.00347	1,651	0.001
Russia	−0.0231***	−0.000881	−0.00100	−0.000839	1,650	0.003
India	−0.0393***	−0.00489	−0.00161	−2.87e-05	1,651	0.000
China	0.0381***	−0.0119**	−0.0164***	−0.0175***	1,651	0.012
South Korea	−0.0310***	−0.0194	−0.0653***	−0.0968***	1,651	0.053
Zimbabwe	0.0140***	0.00269	−0.00563	0.0314***	1,651	0.005
	Hedge	pre-US election	pre-Brexit	pre-China	post-US election	post-Brexit	post-China	Obs.	R-squared
Panel D: pre- and post-crisis
Developed markets
USA	0.0120***	−0.0378***	−0.0332***	0.0268***	−0.0318***	−0.0507***	−0.00678	1,651	0.062
UK	0.0303***	−0.00401	−0.0120**	0.000728	0.000592	−0.00873	−0.0105*	1,651	0.006
Japan	0.0546***	0.0133**	−0.0229***	−0.0239***	−0.00873	−0.0592***	−0.0413***	1,651	0.095
Italy	0.0155***	−8.38e-05	0.0167***	0.0449***	−0.00391	−0.0181***	0.0179***	1,651	0.080
Germany	0.0309***	−0.0167*	−0.0435***	−0.000271	−0.0123	−0.0310***	−0.0463***	1,651	0.033
France	0.0371***	−0.0278**	−0.0615***	0.00235	−0.0202	−0.0390***	−0.0622***	1,651	0.035
Canada	0.0396***	−0.00658*	−0.00525	−0.00301	−0.00218	−0.00284	−0.0172***	1,651	0.017
Developing markets
Brazil	−0.00020	−0.00383	0.00190	−0.00717	−0.00955	−0.00304	−0.00359	1,651	0.002
Russia	−0.0230***	−0.00096	−0.00096	−0.00095	−0.00092	−0.00104	−0.00088	1,650	0.006
India	−0.0392***	−0.00428	−0.00081	−0.00085	−0.00496	−0.00169	−0.00010	1,651	0.000
China	0.0388***	0.00608	−0.0477***	−0.0191***	−0.0126**	−0.0172***	−0.0183***	1,651	0.058
South Korea	−0.0294***	−0.0640***	−0.0929***	0.0278**	−0.0210*	−0.0669***	−0.0985***	1,651	0.104
Zimbabwe	0.0143***	0.0146	−0.0190*	−0.0131	0.00247	−0.00585	0.0312***	1,651	0.009

This table presents the estimation results on the safe haven capability of Bitcoin from Equation (6) during the period leading up to and after the date of crisis. Pre-crisis is the 20 trading days leading up to the date of crisis, while post-crisis is the 20 trading days following the date of crisis. ***, **, * indicate statistical significance at the 1% level, 5% and 10% level, respectively.’

Table 4. Safe haven capability of Bitcoin with crisis dummy

	Hedge	US election	Brexit	China	Observations	R-squared
Panel A: Developed markets
USA	−0.0259***	0.00600***			40	0.229
	−0.0212***		−0.0175***		40	0.181
	0.0388***			−0.0336***	40	0.374
UK	0.0263***	0.00461			40	0.013
	0.0183**		0.00324		40	0.003
	0.0310***			−0.0113	40	0.043
JAPAN	0.0679***	−0.0221***			40	0.763
	0.0316**		−0.0362*		40	0.095
	0.0307***			−0.0174**	40	0.154
ITALIA	0.0155***	−0.00383***			40	0.384
	0.0322***		−0.0348***		40	0.641
	0.0605***			−0.0270***	40	0.630
GERMANY	0.0141**	0.00449			40	0.006
	−0.0126		0.0125		40	0.012
	0.0306***			−0.0460***	40	0.267
FRANCE	0.00925	0.00758			40	0.011
	−0.0244		0.0225		40	0.025
	0.0394***			−0.0645***	40	0.239
CANADA	0.0330***	0.00440**			40	0.110
	0.0343***		0.00240		40	0.009
	0.0366***			−0.0142**	40	0.136
Panel B: Developing markets
BRAZIL	−0.00403	−0.00572			40	0.005
	0.00169		−0.00493		40	0.019
	−0.00737			0.00358	40	0.006
RUSSIA	−0.0240***	4.25e-05***			40	0.212
	−0.0240***		−8.30e-05***		40	0.722
	−0.0240***			7.87e-05***	40	0.294
INDIA	−0.0435***	−0.000685			40	0.000
	−0.0400***		−0.000876		40	0.000
	−0.0400***			0.000741	40	0.000
CHINA	0.0449***	−0.0187***			40	0.347
	−0.00882		0.0305**		40	0.098
	0.0198***			0.000780	40	0.000
SK	−0.0934***	0.0430***			40	0.258
	−0.122***		0.0260		40	0.019
	−0.00158			−0.126***	40	0.657
ZIMBABWE	0.0289***	−0.0121*			40	0.083
	−0.00469		0.0131**		40	0.105
	0.00117			0.0443***	40	0.644

This table presents the estimation results on the safe haven capability of Bitcoin from Equation (6) with crisis dummy where the dummy takes the value 1 for the 20 trading days after the defined start date of crisis, and zero for the 20 trading days before the defined start date of crisis. ***, **, * indicate statistical significance at the 1% level, 5% and 10% level, respectively.