Ren Xiaohang, Wang Rui, Duan Kun, Chen Jinyu
School of Business, Central South University, Changsha 410083, China.
Xi'an Aerospace Propulsion Testing Technology Research Institute, Xi'an, Shaanxi 710025, China.
Res Int Bus Finance. 2022 Dec;62:101672. doi: 10.1016/j.ribaf.2022.101672. Epub 2022 May 5.
This paper studies evolution of the asymmetric sheltering role of Bitcoin compared to gold against oil-related uncertainties with varying severity of the COVID-19 pandemic. Using a varying-coefficient quantile approach, we find a safe haven role of Bitcoin, and it becomes gradually stronger when the pandemic intensifies. The relationship between gold and oil markets is shown to vary with changing severity of the pandemic. We find that gold acts as an increasingly weakened diversifier as the pandemic intensifies until a level, above which its diversification gains would dissipate then. In normal market conditions, both Bitcoin and gold perform as weak hedges for oil portfolios. Our findings demonstrate that interpretation of the sheltering role of Bitcoin and gold against oil market downturns would be biased unless the role dynamics in different market conditions and pandemic severity are considered. Additional analyses reassure robustness of our findings.
本文研究了在新冠疫情严重程度不同的情况下，比特币相对于黄金在抵御与石油相关的不确定性方面的不对称避险作用的演变。采用变系数分位数方法，我们发现比特币具有避险作用，并且随着疫情加剧，这种作用会逐渐增强。黄金与石油市场之间的关系显示出会随着疫情严重程度的变化而变化。我们发现，随着疫情加剧，黄金作为多元化投资工具的作用日益减弱，直到达到某个水平，超过该水平后其多元化收益就会消散。在正常市场条件下，比特币和黄金对石油投资组合而言都是较弱的套期保值工具。我们的研究结果表明，除非考虑不同市场条件和疫情严重程度下的作用动态，否则对比特币和黄金在抵御石油市场低迷方面的避险作用的解读将存在偏差。进一步的分析证实了我们研究结果的稳健性。
