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dc.contributor.author | Bouri, Elie![]() |
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dc.contributor.author | Gupta, Rangan![]() |
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dc.contributor.author | Tiwari, Aviral Kumar![]() |
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dc.contributor.author | Roubaud, David![]() |
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dc.date.accessioned | 2018-05-29T07:21:24Z | |
dc.date.issued | 2017-11 | |
dc.description.abstract | We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty. | en_ZA |
dc.description.department | Economics | en_ZA |
dc.description.embargo | 2018-11-01 | |
dc.description.librarian | hj2018 | en_ZA |
dc.description.uri | http://www.elsevier.com/locate/frl | en_ZA |
dc.identifier.citation | Bouri, E., Gupta, R., Tiwari, A.K. & Roubaud, D. 2017, 'Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions', Finance Research Letters, vol. 23, pp. 87-95. | en_ZA |
dc.identifier.issn | 1544-6123 | |
dc.identifier.other | 10.1016/j.frl.2017.02.009 | |
dc.identifier.uri | http://hdl.handle.net/2263/65048 | |
dc.language.iso | en | en_ZA |
dc.publisher | Elsevier | en_ZA |
dc.rights | © 2017 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 23, pp. 87-95, 2017. doi : 10.1016/j.frl.2017.02.009. | en_ZA |
dc.subject | Bitcoin | en_ZA |
dc.subject | Global uncertainty | en_ZA |
dc.subject | Wavelet | en_ZA |
dc.subject | Quantile regressions | en_ZA |
dc.title | Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions | en_ZA |
dc.type | Postprint Article | en_ZA |