Is bitcoin a diversifier, hedge or safe haven for traditional and alternate asset classes?

Figures & data

Figure 1. Performance of bitcoin versus selected asset classes. A bitcoin vs stock market indices. B Bitcoin vs Bonds Market Indices. C Bitcoin vs Currencies. D Bitcoin vs Real Estate.

Table 1. Summary Statistics for daily data for the complete period

	Mean	Median	Maximum	Minimum	Standard Deviation	Skewness	Kurtosis	Observations
Bitcoin Returns	0.00682	0.00201	0.67705	−0.45170	0.06363	1.14736	18.47127	2777
MSCI developed market index returns	0.00038	0.00061	0.08770	−0.09915	0.00935	−0.89776	19.29050	2777
MSCI emerging market index returns	0.00017	0.00058	0.05732	−0.06707	0.00999	−0.52539	7.58485	2777
FTSE world government bond index returns	0.00008	0.00008	0.01790	−0.02220	0.00355	−0.25041	6.54501	2777
JP Morgan emerging market bond index returns	0.00021	0.00024	0.03567	−0.05041	0.00358	−2.31458	39.24057	2777
Bloomberg corporate bond index returns	0.00019	0.00017	0.01832	−0.03851	0.00311	−1.30257	17.38922	2777
Euro currency returns	−0.00002	0.00007	0.03062	−0.02383	0.00532	−0.00502	4.95416	2777
Yen currency returns	0.00010	0.00000	0.03547	−0.03711	0.00553	0.13479	8.12491	2777
Gold bullion security index returns	0.00017	0.00000	0.05835	−0.07978	0.00986	−0.37433	8.29839	2777
Bloomberg global inflation linked bond index returns	0.00016	0.00015	0.03929	−0.03844	0.00433	−0.13680	11.06240	2777
FTSE Nareit index returns	0.00038	0.00081	0.09337	−0.15641	0.01072	−−1.64520	32.46678	2777

Table 2. Summary Statistics for weekly data for the complete period

	Mean	Median	Maximum	Minimum	Standard Deviation	Skewness	Kurtosis	Observations
Bitcoin Returns	0.03661	0.01363	1.37681	−0.51437	0.16726	2.40704	16.81627	554
MSCI developed market index returns	0.00186	0.00288	0.10980	−0.12453	0.02201	−0.69433	9.88396	554
MSCI emerging market index returns	0.00088	0.00283	0.09787	−0.11945	0.02522	−0.38121	5.70554	554
FTSE world government bond index returns	0.00044	0.00059	0.03280	−0.03635	0.00848	−0.21370	4.46845	554
JP Morgan emerging market bond index returns	0.00107	0.00169	0.04550	−0.09715	0.01018	−2.94890	29.29499	554
Bloomberg corporate bond index returns	0.00098	0.00150	0.06127	−0.08874	0.00838	−2.83616	40.49808	554
Euro currency returns	−0.00007	−0.00015	0.04238	−0.03961	0.01226	−0.14845	3.85526	554
Yen currency returns	0.00046	0.00060	0.04317	−0.04732	0.01244	−0.05247	3.94474	554
Gold bullion security index returns	0.00079	0.00126	0.09238	−0.08645	0.02154	−0.12060	4.58143	554
Bloomberg global inflation linked bond index returns	0.00082	0.00098	0.07268	−0.07578	0.01068	−0.38827	11.87370	554
FTSE Nareit index returns	0.00191	0.00391	0.21327	−0.25265	0.02784	−0.83949	26.11610	554

Table 3. Summary Statistics for daily data for the Covid-19 period

	Mean	Median	Maximum	Minimum	Standard Deviation	Skewness	Kurtosis	Observations
Bitcoin Returns	0.00755	0.00535	0.18048	−0.27187	0.04482	−0.56291	9.72751	311
MSCI developed market index returns	0.00065	0.00144	0.08770	−0.09915	0.01687	−0.99572	13.47250	311
MSCI emerging market index returns	0.00064	0.00173	0.05732	−0.06707	0.01442	−0.93389	7.94375	311
FTSE world government bond index returns	0.00017	0.00021	0.01790	−0.02198	0.00404	−0.73705	10.83046	311
JP Morgan emerging market bond index returns	0.00004	0.00033	0.03567	−0.05041	0.00679	−2.33120	23.44676	311
Bloomberg corporate bond index returns	0.00016	0.00020	0.01832	−0.03851	0.00501	−2.31674	19.87823	311
Euro currency returns	0.00020	0.00009	0.01471	−0.02043	0.00455	−0.23907	4.63913	311
Yen currency returns	0.00002	0.00009	0.03204	−0.02875	0.00537	0.87149	13.41220	311
Gold bullion security index returns	0.00044	0.00085	0.05749	−0.05035	0.01199	−0.33726	6.81054	311
Bloomberg global inflation linked bond index returns	0.00031	0.00054	0.03929	−0.03844	0.00628	−0.27535	15.65701	311
FTSE Nareit index returns	0.00004	0.00072	0.09337	−0.15641	0.02163	−1.57917	15.80685	311

Table 4. DCC coefficient of bitcoin versus other asset classes

Bitcoin versus	Mean DCC coefficient
	All period	Pre-COVID-19	During COVID-19	t value (µpre-covid-19-µcovid-19)
MSCI developed market index	0.039	0.025	0.3149	−4.1865***
MSCI emerging market index	0.019	0.012	0.198	552.64***
FTSE world government bond index	0.024	0.024	0.1689	36.59***
JP Morgan emerging market bond index	0.033	0.032	0.1425	45.38***
Bloomberg corporate bond index	−0.001	−0.001	−0.0071	88.71***
Euro currency	0.028	0.025	0.141	234.01***
Yen currency	−0.030	−0.030	−0.1212	11.373***
FTSE Nareit index	0.038	0.029	0.1895	7.9825***
Gold bullion security index returns	0.026	0.043	0.3163	57.36***
Bloomberg global inflation linked bond index returns	0.042	0.029	0.2363	−75.247***

***significant at 1%

Figure 2. Dynamic correlations between bitcoin and the selected assets during the complete period (17 July 2010 to 10 March 2021).

Figure 2. (continued).

Figure 3. Dynamic correlations between bitcoin and other assets during Covid-19 period (1 January 2020 to 10 March 2021).

Figure 3. (continued).

Table 5. DCC-GARCH: Bitcoin as a hedge and safe haven against global traditional and alternative asset classes using daily data

	Hedge C0	1%C1	5%C2	10%C3
MSCI developed market index	0.4977	0.0998*	−0.2198	−0.0344
MSCI emerging market index	−0.0805	0.1375	−0.0515	−0.6843
FTSE world government bond index	−0.5968	−1.0047	−1.5463	1.7945
JP Morgan emerging market bond index	0.8290	−0.9779	1.0603	−2.2986*
Bloomberg corporate bond index	−0.4841	−0.9687	2.6207	−0.0009
Euro currency	−0.0744	−1.3168	−0.1906	0.8504
Yen currency	−0.1307	0.2634	1.0248	−1.2237
FTSE Nareit index	−0.0529	−0.0534	0.2896	0.2937

*significant at 10%

Table 6. DCC-GARCH: Bitcoin as a hedge and safe haven against global traditional and alternative asset classes using weekly data

	Hedge C0	1%C1	5%C2	10%C3
MSCI developed market index	1.4237*	1.9827	0.4220	0.3003
MSCI emerging market index	−0.5118	−0.6011	0.2170	−0.2942
FTSE world government bond index	−1.5639	0.7970	−3.1948	2.6477
JP Morgan emerging market bond index	4.1374*	2.0292	0.0113	−1.8888
Bloomberg corporate bond index	2.1735	−1.4206	−0.1936	−1.383
Euro currency	−0.5640	2.2537	−1.5150	0.6489
Yen currency	−0.1387	−2.1675	1.2124	1.2970
FTSE Nareit index	−1.0000*	0.1674	0.5414	−0.5037

*significant at 10%

Table 7. DCC-GARCH: Bitcoin as a hedge and safe haven against global traditional and alternative asset classes using daily data during Covid-19 period

	Hedge C0	1%C1	5%C2	10%C3
MSCI developed market index	1.0587***	2.8999	0.6738	−0.0909
MSCI emerging market index	0.09191	−3.8316	−0.3922	−0.5118
FTSE world government bond index	−0.7843	−20.363	0.1114	1.1303
JP Morgan emerging market bond index	2.0616*	26.4911	7.077***	−4.52226*
Bloomberg corporate bond index	−1.6392**	2.3748	0.1422	0.6396
Euro currency	0.0084***	−10.0924	1.413	1.6932
Yen currency	−0.8647	4.9322*	−2.4977	1.9399
FTSE Nareit index	−0.0647	−0.16694	0.2127	−0.2975

*significant at 10%; **significant at 5%; ***significant at 1%

Table 8. DCC-GARCH: Bitcoin vs gold and ILB

	All data (Daily)	All data(Weekly)	During Covid-19(Daily)
	ɣ1	ɣ1	ɣ1
Gold bullion security index returns	0.2480**	0.5742**	1.2213***
Bloomberg global inflation linked bond index returns	0.5908**	1.6899***	1.0883***

**significant at 5%; ***significant at 1%