Bitcoin’s Price Efficiency and Safe Haven Properties during the COVID-19 Pandemic: A Comparison

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Natalia Diniz-Maganini ◽

Abdul A. Rasheed

Keyword(s):

Fluctuation Analysis ◽

Safe Haven ◽

Price Efficiency ◽

Market Prices ◽

Content Type ◽

Multifractal Detrended Fluctuation Analysis ◽

Cross Correlation Analysis ◽

Intraday Data ◽

Country Index ◽

Equity Index

Purpose When investors experience extreme uncertainty, they seek “safe havens” to reduce their risk, to limit their losses and to protect the value of their portfolios. The purpose of this paper is to examine the safe-haven properties of Bitcoin compared to the stock market. Design/methodology/approach Based on intraday data, this study compares the price efficiencies of Bitcoin and Morgan Stanley Capital Index (MSCI) using Multifractal Detrended Fluctuation Analysis for the second half of 2020. This study then evaluates Bitcoin’s safe-haven property using Detrended Partial-Cross-Correlation Analysis (DPCCA). Findings This study finds that the price efficiency of Bitcoin is lower than that of MSCI. Further, Bitcoin was not a safe haven at any time for the MSCI index. The net cross-correlations between Bitcoin and MSCI are weak and they vary at different time scales. Research limitations/implications The behavior of market prices varies over time. Therefore, it is important to replicate this study for other time periods. Social implications The paper sheds light on the price behavior of Bitcoin during a period of instability. The results suggest that the construction of portfolios should differ based on the time horizons of the investors. Originality/value The authors compare Bitcoin against a global equity index instead of a specific country index or commodity. They also demonstrate the applicability of DPCCA in finance research.

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Public Interest Directorate: Publishing award bestowed on APA's No Safe Haven

PsycEXTRA Dataset ◽

10.1037/e380832004-057 ◽

1995 ◽

Author(s):

Tori DeAngelis

Keyword(s):

Public Interest ◽

Safe Haven

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Salem VAMC Alzheimer's Unit Offers a Safe Haven for Vets with Dementia

PsycEXTRA Dataset ◽

10.1037/e510982006-008 ◽

2002 ◽

Author(s):

Matt Bristol

Keyword(s):

Safe Haven

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Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds, and Gold

CFA Digest ◽

10.2469/dig.v40.n3.9 ◽

2010 ◽

Vol 40 (3) ◽

pp. 2-3 ◽

Cited By ~ 2

Author(s):

Mohammed Saqib

Keyword(s):

Safe Haven

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Searching for safe haven

Bulletin of the Atomic Scientists ◽

10.2968/058006008 ◽

2002 ◽

Vol 58 (6) ◽

pp. 22-25

Author(s):

Michael Flynn

Keyword(s):

Safe Haven

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Safe Haven

10.3138/9781442679535 ◽

2003 ◽

Cited By ~ 5

Author(s):

Rae Bridgman

Keyword(s):

Safe Haven

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1621.1 Pilgrim Stoolball and the Profusion of American Safe-Haven Ballgames

Base Ball A Journal of the Early Game ◽

10.3172/bb.5.1.10 ◽

2011 ◽

Vol 5 (1) ◽

pp. 10-16

Author(s):

Brian Turner ◽

Larry McCray

Keyword(s):

Safe Haven

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PENERAPAN PENDUGAAN EFISIENSI ALOKATIF PADA USAHATANI BUNCIS (Phaseolus vulgaris, L)

Buletin Ilmiah IMPAS ◽

10.35508/impas.v21i01.2614 ◽

2020 ◽

Vol 21 (1) ◽

pp. 81-90

Author(s):

Marthen Robinson Pellokila

Keyword(s):

Production Function ◽

Allocative Efficiency ◽

Maximum Output ◽

Phaseolus Vulgaris L ◽

Land Area ◽

Price Efficiency ◽

Efficiency Estimation ◽

Area Use ◽

A Company ◽

Douglas Production Function

ABTRACT Efficiency is one of the important indicators to assess the performance of a company or farm. Efficiency guarantees the use of certain inputs to achieve maximum output levels (technical efficiency) and also efficiency ensures the use of certain inputs that maximize profits (price efficiency or allocative efficiency). This article discusses the application of the estimation of price efficiency / allocative efficiency of the use of production inputs in bean farming using the linearized Cobb-Douglas Production function. The results of the analysis shows that the application of price efficiency estimation for production inputs using the Cobb-Douglas production function is satisfactory as long as the classical assumptions required by the multiple regression are fulfilled. Of the five production inputs included in the model, only one production input provides a significant value to production, namely the production input for the land area use. Thus, only the production input for land area use is estimated at the value of its price efficiency. Based on the results of the analysis, it is found that the use of production inputs for land area use has not yet reached its price efficiency.

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