Paper Title :Is Bitcoin a Hedge or Safe Haven? Wavelet-Based Quantile
Author :Hamid Maghsoudi, Meysam Rafei
Article Citation :Hamid Maghsoudi ,Meysam Rafei ,
(2018 ) " Is Bitcoin a Hedge or Safe Haven? Wavelet-Based Quantile " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 8-13,
Volume-4,Issue-5
Abstract : This present paper used wavelet method to explore whetherBitcoin could be used a hedge on average or a safe
haven during financial crises. All data categorized by Maximal Overlap Discrete Wavelet Transform (MODWT) method to 6
scales. Each twin scales indicated short-run, medium-run and long-run,respectively. Theresultsimplied that Bitcoin could
hedge Euro in all terms but only hedge Gold in long-run. Interestingly, empirical results indicated that Bitcoin was a strong
safe haven for Euro in contemporaneous and lagged periods but only a weak safe haven in long-run for Gold.
Keywords - Safe Haven, Hedge, Bitcoin, Gold, Euro, Wavelet
Type : Research paper
Published : Volume-4,Issue-5
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-12246
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Copyright: © Institute of Research and Journals
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Published on 2018-07-26 |
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