Bitcoin for Energy Commodities Before and After the December 2013 Crash: Diversifier, Hedge or Safe Haven?

15 Pages Posted: 2 Mar 2017

See all articles by Elie Bouri

Elie Bouri

Université Saint Esprit de Kaslik (USEK)

Naji P Jalkh

Independent

Peter Molnár

University of Stavanger

David Roubaud

Montpellier Business School

Date Written: March 1, 2017

Abstract

We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine whether that ability is also present for non-energy commodities and our analysis show insignificant results when energy commodities are excluded from the general commodity index. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe-haven properties against commodities and energy commodities are only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.

Keywords: cryptocurrency, Bitcoin crash, commodities, energy commodities, diversifier, hedge, safe haven

JEL Classification: C1, G1, Q4

Suggested Citation

Bouri, Elie and Jalkh, Naji P and Molnár, Peter and Roubaud, David, Bitcoin for Energy Commodities Before and After the December 2013 Crash: Diversifier, Hedge or Safe Haven? (March 1, 2017). Applied Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2925783

Elie Bouri

Université Saint Esprit de Kaslik (USEK) ( email )

KASLIK
Lebanon

Naji P Jalkh

Independent ( email )

No Address Available

Peter Molnár (Contact Author)

University of Stavanger ( email )

UiS Business School
Stavanger, 4036
Norway

David Roubaud

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, 34080
France

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