Intraday hedging and the safe haven role of Bitcoin

Authors

  • MOHAMED ARBI MADANI University of Tunis, ISG-T, LR GEF-2A, Tunis, Tunisia
  • ZIED FTITI EDC Paris Business School, OCRE-Laboratory, Paris, France
  • WAEL LOUHICHI ESSCA School of Management, Paris, France
  • HACHMI BEN AMEUR INSEEC Business School, Paris, France

DOI:

https://doi.org/10.54695/bmi.163.4646

Keywords:

cryptocurrency, hedging, safe haven, portfolio management, diversification, intraday analysis.

Abstract

We investigate intraday hedging and the safe haven role of Bitcoin for stocks, currencies, and oil. The hedge concept depends on non-correlation or negative interaction, on average, while the safe haven concept depends on non-correlation or negative correlation in times of market turmoil. We look at Bitcoin’s ability to be a hedge or safe haven asset with standard financial assets by considering a short investment horizon using high frequency data. Accordingly, we propose a new measure, the q-detrending moving average cross-correlation coefficient, to characterise intraday market interdependence between Bitcoin and these assets during medium and extreme movements. During medium fluctuations, Bitcoin is a weak hedge against currencies, oil, and stocks. During high fluctuations, we find a negative relationship between Bitcoin and oil, meaning Bitcoin can serve as a safe haven against extreme down movements in this market. However, Bitcoin is a weak safe haven asset for the other two markets.

Published

2021-02-10

How to Cite

ARBI MADANI, M., FTITI, Z., LOUHICHI, W., & BEN AMEUR, H. (2021). Intraday hedging and the safe haven role of Bitcoin. Bankers, Markets & Investors, 163(4), 2-13. https://doi.org/10.54695/bmi.163.4646

Issue

Vol. 163 (2020): BANKERS, MARKETS AND INVESTORS

Section

Articles

Most read articles by the same author(s)