Is bitcoin a safe haven or a hedging asset? Evidence from China
Based on daily data about Bitcoin and six other major financial assets (stocks, commodity futures (commodities), gold, foreign exchange (FX), monetary assets, and bonds) in China from 2013 to 2017, we use a VAR-GARCH-BEKK model to investigate mean and volatility spillover effects between Bitcoin and...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2019-09-01
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| Series: | Journal of Management Science and Engineering |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232019300885 |