Safe Haven or Risky Hazard? Bitcoin during the COVID-19 Bear Market
14 Pages Posted: 27 Mar 2020 Last revised: 18 May 2020
Date Written: March 24, 2020
The COVID-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this paper, we show that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops. When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk. Our empirical findings cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.
Keywords: Bitcoin; Safe Haven; Downside Risk; COVID-19
JEL Classification: G10, G11
Suggested Citation: Suggested Citation