Work

Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

Year: 2020

Type: article

Abstract: 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.

Source: Finance research letters

DOI: 10.1016/j.frl.2020.101607

Authors: Thomas Conlon, Richard McGee

Institution: University College Dublin

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $1,250

Funder: Science Foundation Ireland