Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?

摘要: We study the relationship between Bitcoin and commodities by assessing ability of to act as a diversifier, hedge, or safe haven against daily movements in general, energy particular. focus on because energy, form electricity, is an essential input production. For entire period, results show that strong hedge safe-haven both commodity indices. further examine whether also present for non-energy our analysis insignificant when are excluded from general index. account December 2013 price crash reveal properties only pre-crash whereas post-crash period no more than diversifier. In addition uncovering time-varying role Bitcoin, we highlight dissimilarity dynamic correlations extreme downward upward movements.