Gold-backed cryptocurrencies in cryptocurrency portfolios: Evaluating their hedging capabilities and safe-haven characteristics during extreme market conditions
Abstract
Research background: This paper explores the hedging and safe-haven properties of gold-backed cryptocurrencies within the context of conventional cryptocurrencies such as Bitcoin, Ethereum, Tether, and Binance. With the rise of blockchain technology, cryptocurrencies have gained recognition as alternative investment assets, drawing comparisons to traditional safe-haven assets like gold. However, the risk management potential of crypto gold, especially during periods of extreme market volatility, remains under-examined.
Purpose of the article: The purpose of this article is to assess the effectiveness of gold-backed cryptocurrencies as hedging instruments and safe havens for investors in conventional cryptocurrencies. By analyzing their tail dependence during extreme market fluctuations, the study aims to determine their risk management utility.
Methods: To achieve this, we employ a Student’s t copula structure integrated with an ARMA-GJR-GARCH model to measure the time-varying tail dependence between gold-backed and conventional cryptocurrencies. This approach allows for a comprehensive analysis of both normal and extreme market conditions. We use the Digix Gold Token (DGX) as a representative of gold-backed cryptocurrencies. The study examines four major conventional cryptocurrencies — Bitcoin (BTC), Ethereum (ETH), Tether (USDT), and Binance (BNB) — by analyzing daily closing prices from May 14, 2018, to January 31, 2023, which comprise 1702 observations. The dataset, sourced from coincodex.com, includes periods of significant market stress, such as the COVID-19 pandemic and the Russian-Ukrainian conflict.
Findings & value added: The findings reveal a weak association between gold-backed cryptocurrencies and conventional cryptocurrencies, resulting in medium-to-low hedging effectiveness during the sample period. Nevertheless, during crisis periods, a negative association is observed, indicating that gold-backed cryptocurrencies act as effective safe havens in times of market distress. The study contributes to the literature by providing empirical evidence on the risk management benefits of crypto gold, particularly during financial crises, and highlights its potential inclusion in portfolios with cryptocurrency investments to enhance resilience.
Keywords
cryptocurrencies, hedging effectiveness, time-varying copula, COVID-19, Russian-Ukrainian crisis
References
- Abadir, K. M., Luati, A., & Paruolo, P. (2023). GARCH density and functional forecasts. Journal of Econometrics, 235, 470–483. DOI: https://doi.org/10.1016/j.jeconom.2022.04.010
View in Google Scholar - Adebola, S. S., Gil-Alana, L. A., & Madigu, G. (2019). Gold prices and the cryptocurrencies: Evidence of convergence and cointegration. Physica A: Statistical Mechanics and its Applications, 523, 1227–1236. DOI: https://doi.org/10.1016/j.physa.2019.04.123
View in Google Scholar - Ahdika, A., Rosadi, D., Effendie, A. R., & Gunardi (2021). Measuring dynamic dependency using time-varying copulas with extended parameters: Evidence from exchange rates data. MethodsX, 8, 101322. DOI: https://doi.org/10.1016/j.mex.2021.101322
View in Google Scholar - Ahmed, W. M. A. (2020). Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. Journal of Economics and Business, 108, 105886. DOI: https://doi.org/10.1016/j.jeconbus.2019.105886
View in Google Scholar - Akhtaruzzaman, Md., Boubaker, S., Lucey, B. M., & Sensoy, A. (2021). S gold a hedge or a safe-haven asset in the COVID–19 crisis? Economic Modelling, 105588. DOI: https://doi.org/10.1016/j.econmod.2021.105588
View in Google Scholar - Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. DOI: https://doi.org/10.1016/j.jbef.2020.100326
View in Google Scholar - Ali, F., Bouri, E., Naifar, N., Shahzad, S. J. H., & AlAhmad, M. (2022). An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets. Research in International Business and Finance, 63, 101768. DOI: https://doi.org/10.1016/j.ribaf.2022.101768
View in Google Scholar - AlMadany, N. N., Hujran, O., Al Naymat, G., & Maghyereh, A., (2024). Forecasting cryptocurrency returns using classical statistical and deep learning techniques. International Journal of Information Management Data Insights, 4(2), 100251. DOI: https://doi.org/10.1016/j.jjimei.2024.100251
View in Google Scholar - Aloui, C., ben Hamida, H., & Yarovaya, L. (2021). Are Islamic gold-backed cryptocurrencies different?. Finance Research Letters, 39, 101615. DOI: https://doi.org/10.1016/j.frl.2020.101615
View in Google Scholar - Al-Shboul, M., Assaf, A., & Mokni, K. (2022). When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic. International Review of Financial Analysis, 83, 102309. DOI: https://doi.org/10.1016/j.irfa.2022.102309
View in Google Scholar - Al-Shboul, M., Assaf, A., & Mokni, K. (2023). Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic. Research in International Business and Finance, 64, 101824. DOI: https://doi.org/10.1016/j.ribaf.2022.101824
View in Google Scholar - Ando, T., Greenwood-Nimmo, M., & Shin, Y., (2022). Quantile connectedness: Modelling tail behaviour in the topology of financial networks. Management Science, 68(4), 2401–2431. DOI: https://doi.org/10.1287/mnsc.2021.3984
View in Google Scholar - Assaf, A., Mokni, K., & Youssef, M. (2023). COVID-19 and information flow between cryptocurrencies, and conventional financial assets. Quarterly Review of Economics and Finance, 89, 73–81. DOI: https://doi.org/10.1016/j.qref.2023.02.010
View in Google Scholar - Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4), 1593–1636. DOI: https://doi.org/10.1093/qje/qjw024
View in Google Scholar - Barson, Z., Junior, P. O., Adam, A. M., & Asafo-Adjei, E. (2022). Connectedness between gold and cryptocurrencies in COVID-19 pandemic: A frequency-dependent asymmetric and causality analysis. Complexity, 2022, 1–17. DOI: https://doi.org/10.1155/2022/7648085
View in Google Scholar - Basher, S. A. & Sadorsky, P., (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235–247. DOI: https://doi.org/10.1016/j.eneco.2015.11.022
View in Google Scholar - Baur, D. G., & Hoang, L. T. (2021). A crypto safe haven against Bitcoin. Finance Research Letters, 38, 101431. DOI: https://doi.org/10.1016/j.frl.2020.101431
View in Google Scholar - Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds, and gold. Financial Review, 45(2), 217–229. DOI: https://doi.org/10.1111/j.1540-6288.2010.00244.x
View in Google Scholar - Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898. DOI: https://doi.org/10.1016/j.jbankfin.2009.12.008
View in Google Scholar - Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets?. Journal of International Financial Markets, Institutions and Money, 54, 177–189. DOI: https://doi.org/10.1016/j.intfin.2017.12.004
View in Google Scholar - Będowska-Sójka B., & Kliber A. (2021). Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether. North American Journal of Economics and Finance, 56, 101390. DOI: https://doi.org/10.1016/j.najef.2021.101390
View in Google Scholar - Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. DOI: https://doi.org/10.1016/0304-4076(86)90063-1
View in Google Scholar - Bouri, E., Gupta, R., Tiwari, A. K., & Roubaud, D. (2017a). Does bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions. Finance Research Letters, 23, 87–95. DOI: https://doi.org/10.1016/j.frl.2017.02.009
View in Google Scholar - Bouri, E., Jain, A., Roubaud, D., & Kristoufek, L. (2017b). Gold and crude oil as safe-haven assets for clean energy stock indices: A multivariate GARCH approach. Energy Economics, 68, 340–353.
View in Google Scholar - Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537–572. DOI: https://doi.org/10.1093/jjfinec/nbl005
View in Google Scholar - Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters, 130, 32–36. DOI: https://doi.org/10.1016/j.econlet.2015.02.029
View in Google Scholar - Cheema, M. A. Faff, R., Szulczuk, K. R. (2022). The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets? International Review of Financial Analysis, 83, 102316. DOI: https://doi.org/10.1016/j.irfa.2022.102316
View in Google Scholar - Chibane, M., & Janson, N. (2020). Do bitcoin stylized facts depend on geopolitical risk?. SSRN. http://dx.doi.org/10.2139/ssrn.3530020. DOI: https://doi.org/10.2139/ssrn.3530020
View in Google Scholar - Chu, J., Chan, S., Nadarajah, S., & Osterrieder, J. (2017). GARCH modelling of cryptocurrencies. Journal of Risk and Financial Management, 10(4), 17. DOI: https://doi.org/10.3390/jrfm10040017
View in Google Scholar - Cong, L. W., Li, X., & Wang, N. (2021). Tokenomics: Dynamic adoption and valuation. Review of Financial Studies, 34(3), 1105–1155. DOI: https://doi.org/10.1093/rfs/hhaa089
View in Google Scholar - Conlon, T., Corbet, S., & McGee, R. J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248. DOI: https://doi.org/10.1016/j.ribaf.2020.101248
View in Google Scholar - Corbet, S., Hou, Y. G., Hu, Y., Larkin, C., & Oxley, L. (2020). Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic. Economics Letters, 194, 109377. DOI: https://doi.org/10.1016/j.econlet.2020.109377
View in Google Scholar - Corbet, S., Hou, Y. G., Hu, Y., Larkin, C., Lucey, B., & Oxley, L. (2022). Cryptocurrency liquidity and volatility interrelationships during the COVID-19 pandemic. Finance Research Letters, 45, 102137. DOI: https://doi.org/10.1016/j.frl.2021.102137
View in Google Scholar - Corbet, S., Lucey, B., & Yarovaya, L. (2018). Datestamping the bitcoin and ethereum bubbles. Finance Research Letters, 26, 81–88. DOI: https://doi.org/10.1016/j.frl.2017.12.006
View in Google Scholar - Cui, J., & Maghyereh, A. (2022). Time–frequency co-movement and risk connectedness among cryptocurrencies: New evidence from the higher-order moments before and during the COVID-19 pandemic. Financial Innovation, 8, 90. DOI: https://doi.org/10.1186/s40854-022-00395-w
View in Google Scholar - Diebold, F. X., & Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182, 119–134. DOI: https://doi.org/10.1016/j.jeconom.2014.04.012
View in Google Scholar - Dunbar, K., & Owusu-Amoako, J. (2022). Hedging the extreme risk of cryptocurrency. North American Journal of Economics and Finance, 63, 101813. DOI: https://doi.org/10.1016/j.najef.2022.101813
View in Google Scholar - Easley, D., O'Hara, M., & Basu, S. (2019). From mining to markets: The evolution of bitcoin transaction fees. Journal of Financial Economics, 134(1), 91–109. DOI: https://doi.org/10.1016/j.jfineco.2019.03.004
View in Google Scholar - Echaust K., Just M., & Kliber A. (2024). To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk. International Review of Financial Analysis, 94, 103292. DOI: https://doi.org/10.1016/j.irfa.2024.103292
View in Google Scholar - Ederington, L. H. (1979). The hedging performance of the new futures markets. Journal of Finance, 34(1), 157–170. DOI: https://doi.org/10.1111/j.1540-6261.1979.tb02077.x
View in Google Scholar - Embrechts, P., Höing, A., & Juri, A. (2003). Using copulae to bound the value-at-risk for functions of dependent risks. Finance and Stochastics, 7, 145–167. DOI: https://doi.org/10.1007/s007800200085
View in Google Scholar - Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate GARCH models. Journal of Business & Economic Statistics, 20(3), 339–350. DOI: https://doi.org/10.1198/073500102288618487
View in Google Scholar - Erdem, O. (2020). Freedom and stock market performance during Covid-19 outbreak. Finance Research Letters, 36, 101671. DOI: https://doi.org/10.1016/j.frl.2020.101671
View in Google Scholar - Ferreira, P., Kristoufek, L., & Pereira, E. J. D. A. L. (2020). DCCA and DMCA correlations of cryptocurrency markets. Physica A: Statistical Mechanics and its Applications, 545, 123803. DOI: https://doi.org/10.1016/j.physa.2019.123803
View in Google Scholar - Fiszeder P., & Małecka M. (2022). Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies. Equilibrium. Quarterly Journal of Economics and Economic Policy, 17(4), 939–967. DOI: https://doi.org/10.24136/eq.2022.032
View in Google Scholar - Foroutan, P., & Lahmiri, S. (2024). Connectedness of cryptocurrency markets to crude oil and gold: An analysis of the effect of COVID-19 pandemic. Financial Innovation, 10, 68. DOI: https://doi.org/10.1186/s40854-023-00596-x
View in Google Scholar - Gadi, M. F. A., & Sicilia, M. -A. (2022). Analyzing safe haven, hedging and diversifier characteristics of heterogeneous cryptocurrencies against G7 and BRICS market indexes. Journal of Risk and Financial Management, 15(12), 572. DOI: https://doi.org/10.3390/jrfm15120572
View in Google Scholar - González, M. D. L. O., Jareño, F., & Skinner, F. S. (2021). Asymmetric interdependencies between large capital cryptocurrency and gold returns during the COVID-19 pandemic crisis. International Review of Financial Analysis, 76, 101773. DOI: https://doi.org/10.1016/j.irfa.2021.101773
View in Google Scholar - Guo, D., & Zhou, P. (2021). Green bonds as hedging assets before and after COVID: A comparative study between the US and China. Energy Economics, 104, 105696. DOI: https://doi.org/10.1016/j.eneco.2021.105696
View in Google Scholar - Han, H., Linton, O., Oka, T., & Whang, Y.-J. (2016). The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics, 193(1), 251–270. DOI: https://doi.org/10.1016/j.jeconom.2016.03.001
View in Google Scholar - Hood, M., & Malik, F. (2013). Is gold the best hedge and a safe haven under changing stock market volatility? Review of Financial Economics, 22(2), 47–52. DOI: https://doi.org/10.1016/j.rfe.2013.03.001
View in Google Scholar - Hu, Y., Valera, H. G. A., & Oxley, L. (2019). Market efficiency of the top market-cap cryptocurrencies: Further evidence from a panel framework. Finance Research Letters, 31, 138–145. DOI: https://doi.org/10.1016/j.frl.2019.04.012
View in Google Scholar - Huynh, T. L. D., Burggraf, T., & Wang, M. (2020). Gold, platinum, and expected Bitcoin returns. Journal of Multinational Financial Management, 56, 100628. DOI: https://doi.org/10.1016/j.mulfin.2020.100628
View in Google Scholar - Jalan, A., Matkovskyy, R., & Yarovaya, L. (2021). “Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic. International Review of Financial Analysis, 78, 101958. DOI: https://doi.org/10.1016/j.irfa.2021.101958
View in Google Scholar - Jareño, F., de la O González, M., Tolentino, M., & Sierra, K. (2020). Bitcoin and gold price returns: A quantile regression and NARDL analysis. Resources Policy, 67, 101666. DOI: https://doi.org/10.1016/j.resourpol.2020.101666
View in Google Scholar - Ji, Q., Bouri, E., Roubaud, D., & Shahzad, S. J. H. (2018). Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model. Energy Economics, 75, 14–27. DOI: https://doi.org/10.1016/j.eneco.2018.08.015
View in Google Scholar - Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71, 101526. DOI: https://doi.org/10.1016/j.irfa.2020.101526
View in Google Scholar - Katsiampa, P. (2017). Volatility estimation for Bitcoin: A comparison of GARCH models. Economics Letters, 158, 3–6. DOI: https://doi.org/10.1016/j.econlet.2017.06.023
View in Google Scholar - Klein, T., Thu, H. P., & Walther, T. (2018). Bitcoin is not the New Gold–A comparison of volatility, correlation, and portfolio performance. International Review of Financial Analysis, 59, 105–116. DOI: https://doi.org/10.1016/j.irfa.2018.07.010
View in Google Scholar - Kliber, A. (2022). Looking for a safe haven against American stocks during COVID-19 pandemic. North American Journal of Economics and Finance, 63, 101825. DOI: https://doi.org/10.1016/j.najef.2022.101825
View in Google Scholar - Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119–147. DOI: https://doi.org/10.1016/0304-4076(95)01753-4
View in Google Scholar - Kristoufek, L. (2021). Tethered, or Untethered? On the interplay between stablecoins and major cryptoassets. Finance Research Letters, 43, 101991. DOI: https://doi.org/10.1016/j.frl.2021.101991
View in Google Scholar - Kroner, K. F., & Ng, V. K. (1998). Modeling asymmetric comovements of asset returns. Review of Financial Studies, 11(4), 817–844. DOI: https://doi.org/10.1093/rfs/11.4.817
View in Google Scholar - Labidi, C., Rahman, Md. L., Hedström, A., Uddind, G. S., & Bekiros, S. (2018). Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis. International Review of Financial Analysis, 59, 179–211. DOI: https://doi.org/10.1016/j.irfa.2018.08.005
View in Google Scholar - Lahmiri, S., & Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons & Fractals, 138, 109936. DOI: https://doi.org/10.1016/j.chaos.2020.109936
View in Google Scholar - Lindman, S., Tuvhag, T., Jayasekera, R., Salah Uddin, G., & Troster, V. (2020). Market impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro. Journal of Empirical Finance, 56, 42–73. DOI: https://doi.org/10.1016/j.jempfin.2019.10.005
View in Google Scholar - Liu, Y., Tsyvinski, A., & Wu, X. (2012). Common risk factors in cryptocurrency. Journal of Finance, 77(2), 1133–1177. DOI: https://doi.org/10.1111/jofi.13119
View in Google Scholar - Luther, W. J., & Salter, A. W. (2017). Bitcoin and the bailout. Quarterly Review of Economics and Finance, 66, 50–56. DOI: https://doi.org/10.1016/j.qref.2017.01.009
View in Google Scholar - Ly, S., Sarwat, S., Wong, W. K., Ramzan, M., & Nguyen, H. D. (2022a). A static and dynamic copula-based ARIMA-fGARCH approach to determinants of carbon dioxide emissions in Argentina. Environmental Science and Pollution Research, 29(48), 73241–73261. DOI: https://doi.org/10.1007/s11356-022-20906-7
View in Google Scholar - Ly, S., Sriboonchitta, S., Tang, J., & Wong, W. K. (2022b). Exploring dependence structures among European electricity markets: Static and dynamic copula-GARCH and dynamic state-space approaches. Energy Reports, 8, 3827–3846. DOI: https://doi.org/10.1016/j.egyr.2022.02.308
View in Google Scholar - Lyons, R. K., & Viswanath-Natraj, G. (2023). What keeps stablecoins stable? Journal of International Money and Finance, 131, 102777. DOI: https://doi.org/10.1016/j.jimonfin.2022.102777
View in Google Scholar - Maghyereh, A., & Abdoh, H. (2020). Tail dependence between bitcoin and financial assets: Evidence from a quantile cross-spectral approach. International Review of Financial Analysis, 71, 101545. DOI: https://doi.org/10.1016/j.irfa.2020.101545
View in Google Scholar - Maghyereh, A., & Abdoh, H. (2021). Time–frequency quantile dependence between Bitcoin and global equity markets. North American Journal of Economics and Finance, 56, 101355. DOI: https://doi.org/10.1016/j.najef.2020.101355
View in Google Scholar - Maghyereh, A., & Abdoh, H. (2022). COVID-19 and the volatility interlinkage between bitcoin and financial assets. Empirical Economics, 63(6), 2875–2901. DOI: https://doi.org/10.1007/s00181-022-02223-7
View in Google Scholar - Maghyereh, A., & Ziadat, S. (2024). Pattern and determinants of tail-risk transmission between cryptocurrency markets: New evidence from recent crisis episodes. Financial Innovation, 10, 77. DOI: https://doi.org/10.1186/s40854-023-00592-1
View in Google Scholar - Maghyereh, A., Awartani, B., & Hassan, A. (2018). Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management. Journal of Asset Management, 18, 1–19. DOI: https://doi.org/10.1057/s41260-018-0090-y
View in Google Scholar - Maghyereh, A. I., Awartani, B., & Abdoh, A. (2019). The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. Energy, 169, 895–913. DOI: https://doi.org/10.1016/j.energy.2018.12.039
View in Google Scholar - Maghyereh, A. I., Awartani, B., & Tziogkidis, P. (2017). Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics, 68, 440–453. DOI: https://doi.org/10.1016/j.eneco.2017.10.025
View in Google Scholar - Maitra, D., Ur Rehman, M., Dash, S. R., &Kang, S. H., (2022). Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic. North American Journal of Economics and Finance, 62, 101776. DOI: https://doi.org/10.1016/j.najef.2022.101776
View in Google Scholar - Malladi, R. K., & Dheeriya, P. L. (2021). Time series analysis of cryptocurrency returns and volatilities. Journal of Economics and Finance, 45(1), 75–94. DOI: https://doi.org/10.1007/s12197-020-09526-4
View in Google Scholar - Mnif, E., & Jarboui, A. (2022). Resilience of Islamic cryptocurrency markets to Covid-19 shocks and the Federal Reserve policy. Asian Journal of Accounting Research, 7(1), 59–70. DOI: https://doi.org/10.1108/AJAR-01-2021-0004
View in Google Scholar - Mnif, E., Jarboui, A., & Mouakhar, K. (2020). How the cryptocurrency market has performed during COVID 19? A multifractal analysis. Finance Research Letters, 36, 101647. DOI: https://doi.org/10.1016/j.frl.2020.101647
View in Google Scholar - Naeem, M. A., Pham, L., Senthilkumar, A., & Karim, S. (2022). Oil shocks and BRIC markets: Evidence from extreme quantile approach. Energy Economics, 108, 105932. DOI: https://doi.org/10.1016/j.eneco.2022.105932
View in Google Scholar - Nugroho, B. A. (2021). Spillovers and bivariate portfolios of gold-backed cryptocurrencies and gold during the COVID-19 outbreak. Journal of Islamic Accounting and Business Research, 12(7), 1055–1076. DOI: https://doi.org/10.1108/JIABR-10-2020-0328
View in Google Scholar - O'Connor, F. A., Lucey, B. M., Batten, J. A., & Baur, D. G. (2015). The financial economics of gold—A survey. International Review of Financial Analysis, 41, 186–205. DOI: https://doi.org/10.1016/j.irfa.2015.07.005
View in Google Scholar - Oosterlinck, K., Reyns, A., & Szafarz, A. (2023). Gold, bitcoin, and portfolio diversification: Lessons from the Ukrainian war. Resources Policy, 83, 103710. DOI: https://doi.org/10.1016/j.resourpol.2023.103710
View in Google Scholar - Patton, A. J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2), 527–556. https://www.jstor.org/stable/3663514. DOI: https://doi.org/10.1111/j.1468-2354.2006.00387.x
View in Google Scholar - Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17–29. DOI: https://doi.org/10.1016/S0165-1765(97)00214-0
View in Google Scholar - Pindyck, R. S. (1999). The long-run evolution of energy prices. Energy Journal, 20(2), 1–27. https://www.jstor.org/stable/41322828. DOI: https://doi.org/10.5547/ISSN0195-6574-EJ-Vol20-No2-1
View in Google Scholar - Popper, N. (2015). Digital gold: The untold story of bitcoin. Penguin.
View in Google Scholar - Reboredo, J. C. (2018). Green bond and financial markets: Co-movement, diversification and price spillover effects. Energy Economics, 74, 38–50. DOI: https://doi.org/10.1016/j.eneco.2018.05.030
View in Google Scholar - Reboredo, J. C., & Ugolini, A. (2020). Price connectedness between green bond and financial markets. Economic Modelling, 88, 25–38. DOI: https://doi.org/10.1016/j.econmod.2019.09.004
View in Google Scholar - Rehman, M. U., & Vo, X. V. (2020). Is a portfolio of socially responsible firms profitable for investors?. Journal of Sustainable Finance & Investment, 10(2), 191–212. DOI: https://doi.org/10.1080/20430795.2019.1700722
View in Google Scholar - Risse, M. (2019). Combining wavelet decomposition with machine learning to forecast gold returns. International Journal of Forecasting, 35(2), 601–615. DOI: https://doi.org/10.1016/j.ijforecast.2018.11.008
View in Google Scholar - Rizvi, S. A. R., & Ali, M. (2022). Do Islamic cryptocurrencies provide diversification opportunities to Indonesian Islamic investors?. Journal of Islamic Monetary Economics and Finance, 8(3), 441–454. DOI: https://doi.org/10.21098/jimf.v8i3.1563
View in Google Scholar - Sadraoui, T., Regaieg, R., Abdelghani, S., Moussa, W., & Mgadmi, N., (2021). The dependence and risk spillover between energy market and BRICS stock markets: A copula-MGARCH model approach. Global Business Review. DOI: https://doi.org/10.1177/09721509211049123
View in Google Scholar - Schär, F. (2021). Decentralized finance: On blockchain- and smart contract-based financial markets. Federal Reserve Bank of St. Louis Review, 103(2), 153–174. DOI: https://doi.org/10.20955/r.103.153-74
View in Google Scholar - Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74, 787–801. DOI: https://doi.org/10.1016/j.eneco.2018.07.007
View in Google Scholar - Shahzad, S. J. H., Hernandez, J. A., Al-Yahyaee, K. H., & Jammazi, R. (2018). Asymmetric risk spillovers between oil and agricultural commodities. Energy Policy, 118, 182–198. DOI: https://doi.org/10.1016/j.enpol.2018.03.074
View in Google Scholar - Smales, L. A. (2019). Bitcoin as a safe haven: Is it even worth considering? Finance Research Letters, 30, 385–393. DOI: https://doi.org/10.1016/j.frl.2018.11.002
View in Google Scholar - Syuhada, K., Hakim, A., Suprijanto, D., Muchtadi-Alamsyah, I., & Arbi, L. (2022). Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. Resources Policy, 79, 103111. DOI: https://doi.org/10.1016/j.resourpol.2022.103111
View in Google Scholar - Thampanya, N., Nasir, M. A., & Huynh, T. L. D. (2020). Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution. Technological Forecasting and Social Change, 159, 120195. DOI: https://doi.org/10.1016/j.techfore.2020.120195
View in Google Scholar - Tiwari, A. K., Aye, G. C., Gupta, R. & Gkillas, K. (2020). Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. Energy Economics, 88, 104748. DOI: https://doi.org/10.1016/j.eneco.2020.104748
View in Google Scholar - Tobias, A., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705. DOI: https://doi.org/10.1257/aer.20120555
View in Google Scholar - Uddin, G. S., Rahman, M. L., Hedström, A., & Ahmed, A. (2019). Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes. Energy Economics, 80, 743–759. DOI: https://doi.org/10.1016/j.eneco.2019.02.014
View in Google Scholar - Vukovic, D., Maiti, M., Grubisic, Z., Grigorieva, E. M., & Frömmel, M. (2021). COVID19 pandemic: Is the crypto market a safe haven? The impact of the first wave. Sustainability, 13(15), 8578. DOI: https://doi.org/10.3390/su13158578
View in Google Scholar - Wang, G. J., Ma, X. Y., & Wu, H. Y. (2020). Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?. Research in International Business and Finance, 54, 101225. DOI: https://doi.org/10.1016/j.ribaf.2020.101225
View in Google Scholar - Wang, Q., Wei, Y., Wang, Y., & Liu, Y. (2022). On the safe-haven ability of bitcoin, gold, and commodities for international stock markets: Evidence from spillover index analysis. Discrete Dynamics in Nature and Society, 2022, 1–16. DOI: https://doi.org/10.1155/2022/9520486
View in Google Scholar - Wasiuzzaman, S., & Rahman, H. S. W. H. A. (2021). Performance of gold-backed cryptocurrencies during the COVID-19 crisis. Finance Research Letters, 43, 101958. DOI: https://doi.org/10.1016/j.frl.2021.101958
View in Google Scholar - Wasiuzzaman, S., Azwan, A. N. M., & Nordin, A. N. H. (2023). Analysis of the performance of Islamic gold-backed cryptocurrencies during the bear market of 2020. Emerging Markets Review, 54, 100920. DOI: https://doi.org/10.1016/j.ememar.2022.100920
View in Google Scholar - Wu, C-C., Chung, H., & Chang, Y.-H., (2012). The economic value of co-movement between oil price and exchange rate using copula-based GARCH models. Energy Economics, 34, 270–282. DOI: https://doi.org/10.1016/j.eneco.2011.07.007
View in Google Scholar - Xie, Y., Kang, S. B., & Zhao, J. (2021). Are stablecoins safe havens for traditional cryptocurrencies? An empirical study during the COVID-19 pandemic. Applied Finance Letters, 10, 2–9. DOI: https://doi.org/10.24135/afl.v10i.342
View in Google Scholar - Yahya, M., Dutta, A., Bouri, E., Wadström, C., & Salah Uddin, G. (2022). Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil. Renewable Energy, 197, 549–605. DOI: https://doi.org/10.1016/j.renene.2022.07.112
View in Google Scholar - Yousaf, I., & Ali, S. (2020). Discovering interlinkages between major cryptocurrencies using high-frequency data: New evidence from COVID-19 pandemic. Financial Innovation, 6, 45. DOI: https://doi.org/10.1186/s40854-020-00213-1
View in Google Scholar - Yousaf, I., & Yarovaya, L. (2022). Spillovers between the Islamic gold-backed cryptocurrencies and equity markets during the COVID-19: A sectorial analysis. Pacific-Basin Finance Journal, 71, 101705. DOI: https://doi.org/10.1016/j.pacfin.2021.101705
View in Google Scholar - Zhang, W., Li, Y., Xiong, X., & Wang, P. (2021). Downside risk and the cross-section of cryptocurrency returns. Journal of Banking & Finance, 133, 106246. DOI: https://doi.org/10.1016/j.jbankfin.2021.106246
View in Google Scholar - Zhang, X., Chen, X., & Wang, S., (2024). A study of the impact of cryptocurrency price volatility on the stock and gold markets. Finance Research Letters, 69, Part A, 106114. DOI: https://doi.org/10.1016/j.frl.2024.106114
View in Google Scholar
Downloads
Download data is not yet available.