Dynamic Properties of the Bitcoin and the US Market

Stavroyiannis, Stavros; Babalos, Vassilios

doi:10.2139/ssrn.2966998

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Dynamic Properties of the Bitcoin and the US Market

11 Pages Posted: 13 May 2017

See all articles by Stavros Stavroyiannis

Stavros Stavroyiannis

University of the Peloponnese - Department of Accounting and Finance

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese; University of Piraeus - Department of Banking and Financial Management

Date Written: May 11, 2017

Abstract

This paper examines the dynamic properties of Bitcoin and the Standard and Poor’s SP500 index, using a variety of econometric approaches, including univariate and multivariate GARCH models, and vector autoregressive specifications. Moreover, we explore whether Bitcoin can be classified as a possible hedge, diversifier, or safehaven with respect to the US market, and if it possesses any of the attributes Gold has. Our results indicate that Bitcoin does not actually hold any of the hedge, diversifier, or safe-haven properties; rather, it exhibits intrinsic attributes not related to US market developments.

Keywords: Bitcoin; Asymmetric GARCH Model; Full BEKK Model; Hedge; Safe-Haven

JEL Classification: G15; G11

Suggested Citation: Suggested Citation

Stavroyiannis, Stavros and Babalos, Vassilios, Dynamic Properties of the Bitcoin and the US Market (May 11, 2017). Available at SSRN: https://ssrn.com/abstract=2966998 or http://dx.doi.org/10.2139/ssrn.2966998