Trade uncertainties and the hedging abilities of Bitcoin

dc.contributor.authorBouri, Elie
dc.contributor.authorGkillas, Konstantinos
dc.contributor.authorGupta, Rangan
dc.date.accessioned2021-05-07T13:20:36Z
dc.date.issued2020-11
dc.description.abstractIn this paper, we first estimate the monthly realised correlation, based on daily data, between stock returns of the United States (US) and Bitcoin returns. Then, we relate the realised correlation over the period October 2011 to May 2019 with a news‐based measure of the growth of trade uncertainty of the US. Our results show that the realised correlation is negatively impacted by increases in trade uncertainty, which continues to hold under alternative robustness checks, suggesting that Bitcoin can act as a hedge relative to the conventional stock market in the wake of heightened trade policy‐related uncertainties, and provide diversification benefits for investors.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-05-26
dc.description.librarianhj2021en_ZA
dc.description.urihttp://wileyonlinelibrary.com/journal/ecnoen_ZA
dc.identifier.citationBouri E, Gkillas K, Gupta R. .Trade uncertainties and the hedging abilities of Bitcoin. Economic Notes. 2020;49:e12173. https://doi.org/10.1111/ecno.12173en_ZA
dc.identifier.issn0391-5026 (print)
dc.identifier.issn1468-0300 (online)
dc.identifier.other10.1111/ecno.12173
dc.identifier.urihttp://hdl.handle.net/2263/79814
dc.language.isoenen_ZA
dc.publisherWileyen_ZA
dc.rights© 2020 John Wiley & Sons Ltd. This is the pre-peer reviewed version of the following article : Trade uncertainties and the hedging abilities of Bitcoin. Economic Notes. 2020;49:e12173. https://doi.org/10.1111/ecno.12173. The definite version is available at : http://wileyonlinelibrary.com/journal/ecnoen_ZA
dc.subjectBitcoinen_ZA
dc.subjectRealised correlationen_ZA
dc.subjectTrade uncertaintyen_ZA
dc.subjectUS stock marketen_ZA
dc.subjectUnited States (US)en_ZA
dc.titleTrade uncertainties and the hedging abilities of Bitcoinen_ZA
dc.typePostprint Articleen_ZA

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