Is Bitcoin a safe haven? Application of FinTech to safeguard Australian stock markets

Document Type

Journal Article

Publication Title

Studies in Economics and Finance

Volume

39

Issue

3

Publisher

Emerald

School

School of Business and Law

RAS ID

40584

Comments

Kamran, M., Butt, P., Abdel-Razzaq, A., & Djajadikerta, H. G. (2022). Is Bitcoin a safe haven? Application of FinTech to safeguard Australian stock markets. Studies in Economics and Finance, 39 (3), p.386-402.

https://doi.org/10.1108/SEF-05-2021-0201

Abstract

Purpose:

This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of the COVID-19 pandemic in Australia and whether such property is similar or different in one year time from the first wave of the COVID-19.

Design/methodology/approach:

The authors used the bivariate Dynamic Conditional Correlation, Generalized Autoregressive Conditional Heteroskedasticity model, on the five-day returns of Bitcoin and Australian stock indices for the sample period between 23 April, 2011 and 19 April, 2021.

Findings:

The results show that Bitcoin offered weak safe haven and hedging benefits when combined in a portfolio with S&P/ASX 200 Financials index, S&P/ASX 200 Banks index or S&P/ASX 300 Banks index. In regard to the S&P/ASX All Ordinaries Gold index, the authors found Bitcoin a risky candidate with inconsistent safe haven and hedging benefits. Against S&P/ASX 50 index, S&P/ASX 200 index and S&P/ASX 300 index, Bitcoin was nothing more than a diversifier. The outset of the second COVID-19 wave, which was comparatively more severe than the first, is also reflected in the results with considerably higher correlations.

Originality/value:

There is a lack of in-depth empirical evidence on the safe haven capabilities of Bitcoins for various Australian stock indices during the first and second waves of the COVID-19 pandemic. The study bridges this void in research.

DOI

10.1108/SEF-05-2021-0201

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