Safe havens for Bitcoin and Ethereum: evidence from high-frequency data
This study uses high-frequency econometric models to examine FAANG stocks as safe havens and diversification tools for Bitcoin and Ethereum.
What it examines
The study investigates whether top U.S. tech stocks (FAANG) can act as safe havens for Bitcoin and Ethereum. Using high-frequency data, TVP-VAR models, DCC and ADCC correlations, and wavelet coherence, the paper explores diversification methods, hedging strategies, and shock spillovers in volatile cryptocurrency markets.
What it concludes
The study concludes that FAANG stocks provide moderate to strong safe-haven benefits for Bitcoin and Ethereum, aiding in risk reduction and portfolio diversification. Its findings can help investors manage risk, guide policymakers on market regulations, and encourage future research on additional cryptocurrencies and related asset classes.
Evidence objects
The study redefines safe-haven, diversifier, and hedge roles using dynamic connectedness measures and proposes novel metrics for asymmetric spillovers and tail-risk behavior; limitations include narrow cryptocurrency focus and legal analysis.
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High-frequency intraday data from 2018 to 2023 reveals FAANG stocks as robust safe havens for Bitcoin and Ethereum in turbulent markets; researchers used DCC, ADCC, time-varying VAR, and wavelet coherence.
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During crises, such as the COVID-19 pandemic and Russia--Ukraine War, integrating FAANG stocks into cryptocurrency portfolios diversified risk; Facebook emerged as a strong safe haven, while Netflix exhibited hedge characteristics.
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Employing advanced econometric techniques on high-frequency intraday data, this paper innovatively examines safe haven characteristics for Bitcoin and $Ethereum$. Extending beyond daily studies, it introduces a novel perspective that refines market behavior analysis. Its originality and approach engage both cryptocurrency and quantitative finance audiences, offering significant insights and timely relevance.
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Raw abstract and provenance
- … of and attention to Bitcoin and other major cryptocurrencies have increased recently, understanding the price mechanism, trading behavior, and their role in portfolio …
Source row: 1737 · abstract type: snippet