Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis

25 Pages Posted: 10 Feb 2018

See all articles by Andrew Urquhart

Andrew Urquhart

ICMA Centre, Henley Business School; University of Reading - ICMA Centre

Hanxiong Zhang

University Of Surrey

Date Written: January 31, 2018


Bitcoin has attracted a wealth of attention in the media and by investors alike and this paper investigates whether Bitcoin can act as a hedge or safe-haven against world currencies. Contrary to previous studies, we assess the relationship between Bitcoin and currencies at the hourly frequency since Bitcoin experiences quite large volatility throughout the day. We employ a ADCC model and find that Bitcoin can be an intraday hedge for the CHF, EUR and GBP, but acts as a diversifier for the AUD, CAD and JPY. We also implement the non-temporal Hansen (2000) test to examine the safe-haven properties of Bitcoin and find that Bitcoin is a safe haven during periods of extreme market turmoil for the CAD, CHF and GBP. Therefore our results indicate that Bitcoin does act as an intraday hedge, diversifier and safe haven for certain currencies, which will be of great interest to currency, cryptocurrency and high frequency investors alike.

Keywords: Safe Haven; Hedge; Bitcoin; High Frequency; Dynamic Conditional Correlation

JEL Classification: G10; G11; G14; G15

Suggested Citation

Urquhart, Andrew and Zhang, Hanxiong, Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (January 31, 2018). Available at SSRN: or

Andrew Urquhart (Contact Author)

ICMA Centre, Henley Business School ( email )

University of Reading
Reading, Berkshire RG6 6BA
United Kingdom

University of Reading - ICMA Centre ( email )

Hanxiong Zhang

University Of Surrey ( email )

Alexander Fleming Road
Guildford, GU2 7XH
United Kingdom

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