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dc.contributor.authorBenSaïda, Ahmed
dc.contributor.authorTayachi, Tahar
dc.contributor.authorChemkha, Rahma
dc.contributor.authorghorbel, ahmed
dc.date.accessioned2022-11-17T10:44:06Z
dc.date.available2022-11-17T10:44:06Z
dc.date.issued2021
dc.identifier.citationRahma Chemkha, Ahmed BenSaïda, Ahmed Ghorbel, Tahar Tayachi, Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold, The Quarterly Review of Economics and Finance, Volume 82, 2021, Pages 71-85, ISSN 1062-9769, https://doi.org/10.1016/j.qref.2021.07.006.en_US
dc.identifier.doi10.1016/j.qref.2021.07.006en_US
dc.identifier.urihttp://hdl.handle.net/20.500.14131/248
dc.description.abstractThe COVID-19 pandemic has caused an unprecedented human and health crisis. The measures taken to contain the damage caused a global economic slowdown. Investors face liquidity pressures resulting from the general downturn in the financial markets, and might change their risk appetite. This paper reassesses the safe haven property of gold as a traditional asset, and Bitcoin which is gradually imposing itself as a new class of asset with unique characteristics. The empirical results, applied on major world stock market indices and currencies, and based on the multivariate asymmetric dynamic conditional correlation model, show the effectiveness of Bitcoin and gold as hedging assets in reducing the risk of international portfolios. Moreover, the analysis provides evidence that during the COVID-19 pandemic, gold is a weak safe haven for the considered assets, while Bitcoin cannot provide shelter due to its increased variabilityen_US
dc.publisherElsevier B.V.en_US
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_US
dc.titleHedge and safe haven properties during COVID-19: Evidence from Bitcoin and golden_US
dc.typeArticleen_US
dc.source.journalThe Quarterly Review of Economics and Financeen_US
refterms.dateFOA2022-11-17T10:44:06Z
dc.source.pages71-85en_US
dc.contributor.researcherFinanceen_US


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