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Comparing gold's and Bitcoin's safe-haven roles against energy commodities during the COVID-19 outbreak: A vine
Khreshna Syuhada1, Djoko Suprijanto1, Arief Hakim1
1Institut Teknologi Bandung, Jalan Ganesa 10, Bandung 40132, Indonesia.
Abstract:
This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.
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