DOIONLINE 
DOIONLINE Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
 Journal Home Volume Issue |
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Issue |
Volume-4,Issue-5 ( May, 2018 ) | |||||||||
Paper Title |
Is Bitcoin a Hedge or Safe Haven? Wavelet-Based Quantile | |||||||||
Author Name |
Hamid Maghsoudi, Meysam Rafei | |||||||||
Affilition |
M.s in Financial Engineering, Islamic Azad University, Tehran, Iran Faculty of Economics, Kharazmi University, Tehran, Iran | |||||||||
Pages |
8-13 | |||||||||
Abstract |
This present paper used wavelet method to explore whetherBitcoin could be used a hedge on average or a safe haven during financial crises. All data categorized by Maximal Overlap Discrete Wavelet Transform (MODWT) method to 6 scales. Each twin scales indicated short-run, medium-run and long-run,respectively. Theresultsimplied that Bitcoin could hedge Euro in all terms but only hedge Gold in long-run. Interestingly, empirical results indicated that Bitcoin was a strong safe haven for Euro in contemporaneous and lagged periods but only a weak safe haven in long-run for Gold. Keywords - Safe Haven, Hedge, Bitcoin, Gold, Euro, Wavelet | |||||||||
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