Abstract
•We investigate the hedge and safe haven properties of Bitcoin and gold during COVID-19.•We consider major world stock indices and currencies.•The methodology is based on the asymmetric DCC model.•Bitcoin and gold are effective as hedge to minimize the risk of international portfolios.•Gold is a weak safe haven for the considered assets, yet Bitcoin cannot provide shelter.
The COVID-19 pandemic has caused an unprecedented human and health crisis. The measures taken to contain the damage caused a global economic slowdown. Investors face liquidity pressures resulting from the general downturn in the financial markets, and might change their risk appetite. This paper reassesses the safe haven property of gold as a traditional asset, and Bitcoin which is gradually imposing itself as a new class of asset with unique characteristics. The empirical results, applied on major world stock market indices and currencies, and based on the multivariate asymmetric dynamic conditional correlation model, show the effectiveness of Bitcoin and gold as hedging assets in reducing the risk of international portfolios. Moreover, the analysis provides evidence that during the COVID-19 pandemic, gold is a weak safe haven for the considered assets, while Bitcoin cannot provide shelter due to its increased variability.