Journal
FINANCE RESEARCH LETTERS
Volume 59, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2023.104689
Keywords
Bitcoin; SVB; CEEMDAN; Event study; Safe-haven
Categories
Ask authors/readers for more resources
This study evaluates the safe-haven property of Bitcoin using the CEEMDAN method, and the results confirm its role as a safe-haven asset amidst the uncertainty in the US banking market. Compared to other market indices, Bitcoin exhibits superior short-term performance and higher stability in returns and volatility in the medium term, outperforming gold. Importantly, Bitcoin maintains its safe-haven attribute over a span of 50 days even during periods of relatively diminished market uncertainty.
This paper sets out to assess the safe-haven property of Bitcoin by employing a complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN)-based event analysis approach amid the collapse of Silicon Valley Bank. Results reveal Bitcoin's role as a safe-haven amidst the uncertainty permeating the US banking market. In comparison to gold, stock, bond, and foreign exchange market indices, Bitcoin exhibits superior short-term performance and outperforms gold in terms of return and volatility stability in the medium term. Notably, the observation that Bitcoin sustained its safe-haven attribute over a span of 50 days even during periods of relatively diminished market uncertainty further solidifies its status as an improved safe-haven asset.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available