Safe haven or risky hazard? Bitcoin during the Covid-19 bear market.

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ID: 171605
2020
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Abstract
The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this paper, we show that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops. When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk. Our empirical findings cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.
Reference Key
conlon2020safefinance Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Conlon, Thomas;McGee, Richard;
Journal finance research letters
Year 2020
DOI
10.1016/j.frl.2020.101607
URL
Keywords
bitcoin covid-19 downside risk safe haven

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