Hedging effectiveness of cryptocurrencies in the European stock market
Luca Gambarelli, Gianluca Marchi, Silvia Muzzioli
Abstract
The aim of the paper is twofold: first, to examine the hedging effectiveness of cryptocurrencies and cryptocurrency portfolios for European equities in bearish and bullish market conditions, and second, to contrast cryptocurrencies with gold as a safe haven asset. To this end, daily data from 2018 to 2022 were employed in a linear and nonlinear Autoregressive Distributed Lag (ARDL) framework. The findings have significant implications for investors, financial intermediaries and regulators.
Topics & Concepts
CryptocurrencyEconomicsDistributed lagStock marketAutoregressive modelSafe havenEconometricsIntermediaryFinancial economicsMonetary economicsFinanceComputer sciencePaleontologyHorseComputer securityBiologyBlockchain Technology Applications and SecurityMarket Dynamics and VolatilityComplex Systems and Time Series Analysis