Can Cryptocurrencies be a Safe Haven During the 2022 Ukraine Crisis? Implications for G7 Investors

IF 2.3 Q3 BUSINESS Global Business Review Pub Date : 2023-09-30 DOI:10.1177/09721509231164808
Mohamed Fakhfekh, Yasmine Snene Manzli, Azza Béjaoui, Ahmed Jeribi
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Abstract

This article attempts to assess the hedging, diversification and safe haven characteristics of gold, Bitcoin and Tether for G7 investors during the political and health crises. For this end, we use the Generalized Autoregressive Conditional Heteroskedasticity-A-Dynamic Conditional Correlation model. The findings prove that gold can be considered as a strong safe haven asset for the G7 investors during the Russia–Ukraine crisis. In contrast, cryptocurrencies fail to retain their safe haven features for Japanese investors during the COVID-19 pandemic. But, they act as diversifier assets for the rest of the G7 stock markets. The computed optimal hedge and hedging effectiveness reveal that Bitcoin displays the best hedging instrument for the United States, British, Japanese and Canadian investors during the Russia–Ukraine crisis whereas gold is considered as the best instrument for German, French and Italian investors.
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在2022年乌克兰危机期间,加密货币能成为避风港吗?对G7投资者的影响
本文试图评估在政治和健康危机期间,黄金、比特币和Tether对G7投资者的对冲、多样化和避险特征。为此,我们使用了广义自回归条件异方差- a -动态条件相关模型。研究结果证明,在俄罗斯-乌克兰危机期间,黄金可以被G7投资者视为一种强大的避险资产。相比之下,在2019冠状病毒病大流行期间,加密货币未能保持其对日本投资者的避险功能。但是,对于G7其他股票市场来说,它们起到了分散资产的作用。计算出的最优对冲和对冲有效性表明,在俄罗斯-乌克兰危机期间,比特币是美国、英国、日本和加拿大投资者的最佳对冲工具,而黄金被认为是德国、法国和意大利投资者的最佳对冲工具。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.10
自引率
12.50%
发文量
107
期刊介绍: Global Business Review is designed to be a forum for the wider dissemination of current management and business practice and research drawn from around the globe but with an emphasis on Asian and Indian perspectives. An important feature is its cross-cultural and comparative approach. Multidisciplinary in nature and with a strong practical orientation, this refereed journal publishes surveys relating to and report significant developments in management practice drawn from business/commerce, the public and the private sector, and non-profit organisations. The journal also publishes articles which provide practical insights on doing business in India/Asia from local and global and macro and micro perspectives.
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