School of Finance, Yunnan University of Finance and Economics, Kunming, China.
Eval Rev. 2023 Jun;47(3):391-432. doi: 10.1177/0193841X221141812. Epub 2022 Dec 1.
The COVID-19 pandemic poses a serious threat to investors in the crude oil market. Furthermore, investors have an increasing need to find a safe haven in their investment portfolios when facing unprecedented risks in crude oil markets during the COVID-19 pandemic. According to a review of the literature, there are contradictory findings on which investment is the safer haven for the oil market. Therefore, this paper aims to evaluate whether bitcoin is a safer haven for the crude oil market than the commonly used gold during the COVID-19 pandemic. Three spillover measurements based on the time, and frequency domains, and a network framework are employed to quantify the return spillover effects among bitcoin, gold and three major crude oil futures markets. We divide the sample into two periods, pre-COVID-19 and post-COVID-19. The results show that bitcoin has a weak safe-haven effect on the crude oil market only over a short period, while gold maintains a good safe-haven ability for crude oil futures across various time horizons (frequencies), both before and after the outbreak of the COVID-19 pandemic. The findings of this study have important implications for policy-makers, crude oil producers and global investors. In particularly, investors cannot ignore the importance of bitcoin and gold in selecting more profitable portfolio policies when searching for safe-haven assets.
新冠疫情大流行对原油市场的投资者构成了严重威胁。此外，在新冠疫情大流行期间，投资者在面临前所未有的原油市场风险时，越来越需要在投资组合中寻找避险资产。根据文献综述，关于哪种投资是原油市场更安全的避险资产，存在相互矛盾的发现。因此，本文旨在评估在新冠疫情大流行期间，比特币是否比常用的黄金更适合作为原油市场的避险资产。本文采用基于时间和频率域的三种溢出测度以及网络框架来量化比特币、黄金和三种主要原油期货市场之间的收益溢出效应。我们将样本分为新冠疫情大流行前和新冠疫情大流行后两个时期。结果表明，比特币对原油市场仅在短期内具有较弱的避险效应，而黄金在新冠疫情爆发前后的各个时间跨度（频率）上均对原油期货保持着良好的避险能力。本研究的结果对政策制定者、原油生产商和全球投资者具有重要意义。特别是，在寻找避险资产时，投资者在选择更有利可图的投资组合策略时，不能忽视比特币和黄金的重要性。
