Review paper

Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰

Volume: 159, Pages: 120195 - 120195
Published: Oct 1, 2020
Abstract
This paper examines the long-run and short-run asymmetric effects of gold and cryptocurrency returns on the Thai stock market. Employing daily data on gold prices from 2000 to 2019 and on cryptocurrency (Bitcoin) from 2013 to 2019 in a linear and non-linear Autoregressive Distributed Lag (ARDL) framework, we investigate and contrast the hedging effectiveness of gold and bitcoins for equities. This study also evaluates whether hedging potential...
Paper Details
Title
Asymmetric correlation and hedging effectiveness of gold & cryptocurrencies: From pre-industrial to the 4th industrial revolution✰
Published Date
Oct 1, 2020
Volume
159
Pages
120195 - 120195
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