Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/254202 
Year of Publication: 
2020
Citation: 
[Journal:] European Journal of Management and Business Economics (EJM&BE) [ISSN:] 2444-8451 [Volume:] 29 [Issue:] 3 [Publisher:] Emerald [Place:] Bingley [Year:] 2020 [Pages:] 347-363
Publisher: 
Emerald, Bingley
Abstract: 
Purpose The goal of this work is to determine whether Bitcoin behaves as a safe-haven asset. In order to do so, the influence of Economic Policy Uncertainty (EPU) on Bitcoin returns and volatility was studied. Design/methodology/approach It is evaluated whether, when compared with the evolution of EPU, Bitcoin's returns and volatility show behaviours typical of safe havens or rather, those of conventional speculative assets. When faced with an increase in EPU, safe havens - such as gold - can be expected to increase their returns and volatility, while conventional speculative assets will increase their volatility and reduce their returns. This study uses simple linear regression and quantile regression models on a daily data sample from 19 July 2010 to 11 April 2019, to analyse the influence of EPU on the returns and volatility of Bitcoin and gold. Findings Bitcoin's returns and volatility increase during more uncertain times, just like gold, showing that Bitcoin acts not only as a means of exchange but also shows characteristics of investment assets, specifically of safe havens. These findings provide useful information to investors by allowing Bitcoin to be considered as a tool to protect savings in times of economic uncertainty and to diversify portfolios. Originality/value This study complements and expands current research by aiming to answer the question of whether Bitcoin is a simple speculative asset or a safe haven. The most significant contribution is to show that Bitcoin is not a mere speculative asset but behaves like a safe haven.
Subjects: 
Bitcoin
Economic policy uncertainty
Safe-haven asset
Speculative asset
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.