{"title":"Hedging and safe haven properties of Ethereum: evidence around crises","authors":"Talie Kassamany, Etienne Harb, Roland Baz","doi":"10.1080/12460125.2022.2133281","DOIUrl":null,"url":null,"abstract":"Given the broad scope of Ethereum and the wide range of its decentralized applications, this paper investigates its hedging and safe haven capabilities against main fiat currencies, stock and bond indices in the US and Europe, and crude oil and gold markets. We use daily data from January 2016 until February 2021 and apply percentile regressions and crisis event interaction analysis by selecting four worldwide events including US presidential elections, the Brexit referendum, and COVID-19. We reveal that Ethereum does not act as a hedge or a safe haven against fiat currencies, stock and bond indices, and gold. However, it does act as a strong safe haven against crude oil in calm and turbulent periods and against European bonds during market turbulence. The study provides insights to regulators and investors into the potential role of Ethereum in investment decision-making and protecting financial market participants in the US and EU.","PeriodicalId":45565,"journal":{"name":"Journal of Decision Systems","volume":null,"pages":null},"PeriodicalIF":2.8000,"publicationDate":"2022-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Decision Systems","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/12460125.2022.2133281","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 1
Abstract
Given the broad scope of Ethereum and the wide range of its decentralized applications, this paper investigates its hedging and safe haven capabilities against main fiat currencies, stock and bond indices in the US and Europe, and crude oil and gold markets. We use daily data from January 2016 until February 2021 and apply percentile regressions and crisis event interaction analysis by selecting four worldwide events including US presidential elections, the Brexit referendum, and COVID-19. We reveal that Ethereum does not act as a hedge or a safe haven against fiat currencies, stock and bond indices, and gold. However, it does act as a strong safe haven against crude oil in calm and turbulent periods and against European bonds during market turbulence. The study provides insights to regulators and investors into the potential role of Ethereum in investment decision-making and protecting financial market participants in the US and EU.
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