Hedge and safe-haven properties of Cryptocurrencies: evidence in east asia-5 market

References

• Abdullah, A. M., Saiti, B., & Masih, M. (2016). The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches. Borsa Istanbul Review, 16(4), 219–16. https://doi.org/10.1016/j.bir.2015.12.002
   Web of Science ®Google Scholar
• Allen, D. E. (2022). Cryptocurrencies, Diversification and the COVID-19 Pandemic. Journal of Risk and Financial Management, 15(3), 103. https://doi.org/10.3390/jrfm15030103
   Web of Science ®Google Scholar
• Aslanidis, N., Bariviera, A. F., & Martinez-Ibanez, O. (2019). An analysis of cryptocurrencies conditional cross correlations. Finance Research Letters, 31, 130–137. https://doi.org/10.1016/j.frl.2019.04.019
   Web of Science ®Google Scholar
• Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. The Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
   Google Scholar
• Bouri, E., Das, M., Gupta, R., & Rouband, D. (2018). Spillovers between Bitcoin and other assets during bear and bull markets. Applied Economics, 50(55), 5935–5949. https://doi.org/10.1080/00036846.2018.1488075
   Web of Science ®Google Scholar
• Bouri, E., Molnar, P., Azzi, G. R., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192–198. https://doi.org/10.1016/j.frl.2016.09.025
   Web of Science ®Google Scholar
• Chan, W. H., Le, M., & Wu, Y. W. (2019). Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin. The Quarterly Review of Economics and Finance, 71, 107–113. https://doi.org/10.1016/j.qref.2018.07.004
   Web of Science ®Google Scholar
• Cheah, E. T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental values of Bitcoin. Economics Letters, 130, 32–36. https://doi.org/10.1016/j.econlet.2015.02.029
   Web of Science ®Google Scholar
• Corbet, S., Eraslan, V., Lucey, B., & Sensoy, A. (2019). The effectiveness of technical trading rules in cryptocurrency markets. Finance Research Letters, 31, 32–37. https://doi.org/10.1016/j.frl.2019.04.027
   Web of Science ®Google Scholar
• Corbet, S., Meegan, A., Larkin, C., & Lucey, B. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165, 28–34. https://doi.org/10.1016/j.econlet.2018.01.004
   Web of Science ®Google Scholar
• Dyhrberg, A. H. (2016a). Hedging capabilities of Bitcoin. Is it the virtual gold? Finance Research Letters, 16, 139–144. https://doi.org/10.1016/j.frl.2015.10.025
   Web of Science ®Google Scholar
• Dyhrberg, A. H. (2016b). Bitcoin, gold and the dollar – A GARCH volatility analysis. Finance Research Letters, 16, 85–92. https://doi.org/10.1016/j.frl.2015.10.008
   Web of Science ®Google Scholar
• Feng, W., Wang, Y., & Zhang, Z. (2018). Can cryptocurrencies be a safe haven: A tail risk perspective analysis. Journal of Applied Economics, 50(44), 4745–4762. https://doi.org/10.1080/00036846.2018.1466993
   Google Scholar
• Goodell, J. W., & Goutte, S. (2021). Diversifying equity with cryptocurrencies during COVID-19. International Review of Financial Analysis, 76, 101781. https://doi.org/10.1016/j.irfa.2021.101781
   Web of Science ®Google Scholar
• Handika, R., Soepriyanto, G., & Havidz, S. A. H. (2019). Are cryptocurrencies contagious to Asian financial markets? Research in International Business and Finance, 50, 416–429. https://doi.org/10.1016/j.ribaf.2019.06.007
   Web of Science ®Google Scholar
• Ji, Q., Bouri, E., Gupta, R., & Roubaud, D. (2018). Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach. The Quarterly Review of Economics and Finance, 70, 203–213. https://doi.org/10.1016/j.qref.2018.05.016
   Web of Science ®Google Scholar
• Karim, B. A., Abdul-Rahman, A., Hwang, J. Y. T., & Kadri, N. (2021). Portfolio Diversification Benefits of Cryptocurrencies and ASEAN-5 Stock Markets. Journal of Asian Finance, Economics and Business, 8(6), 567–577. https://doi.org/10.13106/jafeb.2021.vol8.no6.0567
   Web of Science ®Google Scholar
• Klein, T., Thu, P. H., & Walther, T. (2018). Bitcoin is not the New Gold – A comparison of volatility, correlation and portfolio performance. International Review of Financial Analysis, 59, 105–116. https://doi.org/10.1016/j.irfa.2018.07.010
   Web of Science ®Google Scholar
• Kliber, A., Marszalek, P., Musialkowska, I., & Swierczynska, K. (2019). Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation – A stochastic volatility approach. Physica A: Statistical Mechanics and Its Applications, 524, 246–257. https://doi.org/10.1016/j.physa.2019.04.145
   Web of Science ®Google Scholar
• Koutmos, D. (2018). Bitcoin returns and transaction activity. Economics Letter, 167, 81–85. https://doi.org/10.1016/j.econlet.2018.03.021
   Web of Science ®Google Scholar
• Kurka, J. (2019). Do cryptocurrencies and traditional asset classes influence each other? Finance Research Letters, 31, 38–46. https://doi.org/10.1016/j.frl.2019.04.018
   Web of Science ®Google Scholar
• Lee, D. K. C., Guo, L., & Wang, Y. (2018). Cryptocurrency: A new investment opportunity? Journal of Alternative Investments, 20(3), 16–40. https://doi.org/10.3905/jai.2018.20.3.016
   Web of Science ®Google Scholar
• Matkovskyy, R., & Jalan, A. (2019). From financial markets to Bitcoin markets: A fresh look at the contagion effect. Finance Research Letters, 31, 93–97. https://doi.org/10.1016/j.frl.2019.04.007
   Web of Science ®Google Scholar
• Nakamoto, S. (2008). A Peer-to-Peer Electronic Cash System. Bitcoin. https://bitcoin.org/bitcoin.pdf
   Google Scholar
• Pal, D., & Mitra, S. K. (2019). Hedging Bitcoin with other financial assets. Finance Research Letters, 30, 30–36. https://doi.org/10.1016/j.frl.2019.03.034
   Web of Science ®Google Scholar
• Ratner, M., & Chiu, J. C. C. (2013). Hedging stock sector risk with credit default swaps. International Review of Financial Analysis, 30, 18–25. https://doi.org/10.1016/j.irfa.2013.05.001
   Web of Science ®Google Scholar
• Saiti, B., & Noordin, N. H. (2018). Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis. International Journal of Emerging Markets, 13(1), 267–289. https://doi.org/10.1108/IJoEM-03-2017-0081
   Web of Science ®Google Scholar
• Sebastiao, H., & Godinho, P. (2020). Bitcoin futures: An effective tool for hedging cryptocurrencies. Finance Research Letters, 33, 101230. https://doi.org/10.1016/j.frl.2019.07.003
   Web of Science ®Google Scholar
• Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74, 787–801. https://doi.org/10.1016/j.eneco.2018.07.007
   Web of Science ®Google Scholar
• Shahzad, S. Y., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities? International Review of Financial Analysis, 63, 322–330. https://doi.org/10.1016/j.irfa.2019.01.002
   Web of Science ®Google Scholar
• Smales, L. A. (2019). Bitcoin as a safe haven? Is it even worth considering? Finance Research Letters, 30, 385–393. https://doi.org/10.1016/j.frl.2018.11.002
   Web of Science ®Google Scholar
• Stensas, A., Nygaard, M. F., Kyaw, K., & Treepongkaruna, S. (2019). Can Bitcoin be a diversifier, hedge or safe haven tool? Cogent Economics & Finance, 7(1). https://doi.org/10.1080/23322039.2019.1593072
   Web of Science ®Google Scholar
• Tiwari, A. K., Jana, R. K., Das, D., & Roubaud, D. (2018). Informational efficiency of Bitcoin – An extension. Economics Letters, 163, 106–109. https://doi.org/10.1016/j.econlet.2017.12.006
   Web of Science ®Google Scholar
• Trabelsi, N. (2018). Are they any volatility spill-over effects among Cryptocurrencies and widely traded asset classes? Journal of Risk and Financial Management, 11(4), 66. https://doi.org/10.3390/jrfm11040066
   Web of Science ®Google Scholar
• Urquhart, A. (2016). The inefficiency of Bitcoin. Economics Letter, 148, 80–82. https://doi.org/10.1016/j.econlet.2016.09.019
   Web of Science ®Google Scholar
• Urquhart, A., & Zhang, H. (2019). Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. International Review of Financial Analysis, 63, 49–57. https://doi.org/10.1016/j.irfa.2019.02.009
   Web of Science ®Google Scholar
• Vidal-Tomas, D. (2022). Which cryptocurrency data sources should scholars use? International Review of Financial Analysis, 81, 102061. https://doi.org/10.1016/j.irfa.2022.102061
   Web of Science ®Google Scholar
• Vukovic, D., Maiti, M., Grubisic, Z., Grigorieva, E. M., & Frommel, M. (2021). COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability, 13(15), 8578. https://doi.org/10.3390/su13158578
   Web of Science ®Google Scholar
• Wang, P., Zhang, W., Li, X., & Shen, D. (2019). Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective. Finance Research Letters, 31, 1–18. https://doi.org/10.1016/j.frl.2019.04.031
   Web of Science ®Google Scholar
• Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168, 21–24. https://doi.org/10.1016/j.econlet.2018.04.003
   Web of Science ®Google Scholar
• Wu, S., Tong, M., Yang, Z., & Derbali, A. (2019). Does gold or Bitcoin hedge economic policy uncertainty? Finance Research Letters, 31, 171–178. https://doi.org/10.1016/j.frl.2019.04.001
   Web of Science ®Google Scholar
• Yousaf, I., Abrar, A., & Goodell, J. W. (2022b). Connectedness between travel & tourism tokens, tourism equity, and other assets. Finance Research Letters. https://doi.org/10.1016/j.frl.2022.103595
   Web of Science ®Google Scholar
• Yousaf, I., & Ali, S. (2020). The COVID-19 outbreak and high frequency information transmission between major cryptocurrencies: Evidence from the VAR-DCC-GARCH approach. Borsa Istanbul Review, 20(1), S1–S10. https://doi.org/10.1016/j.bir.2020.10.003
   Google Scholar
• Yousaf, I., Ali, S., Bouri, E., & Saeed, T. (2022a). Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak. Economic Research-Ekonomska Istrazivanja, 35(1), 1913–1934. https://doi.org/10.1080/1331677X.2021.1927787
   Web of Science ®Google Scholar
• Yousaf, I., Nekhili, R., & Umar, M. (2022d). Extreme connectedness between renewable energy tokens and fossil fuel markets. Energy Economics, 114, 106305. https://doi.org/10.1016/j.eneco.2022.106305
   Web of Science ®Google Scholar
• Yousaf, I., Pham, L., & Goodell, J. W. (2023). The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach. Journal of International Financial Markets, Institutions and Money, 82, 101694. https://doi.org/10.1016/j.intfin.2022.101694
   Web of Science ®Google Scholar
• Yousaf, I., Riaz, Y., & Goodell, J. W. (2022c). Energy cryptocurrencies: Assessing connectedness with other asset classes. Finance Research Letters. https://doi.org/10.1016/j.frl.2022.103389
   Web of Science ®Google Scholar