Dynamic Properties of the Bitcoin and the US Market
11 Pages Posted: 13 May 2017
Date Written: May 11, 2017
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