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Abstract:
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This study examines the safe-haven properties of digital assets, particularly Bitcoin, by evaluating its potential as a safe-haven asset. Bitcoin, as a digital asset, emerged from the concept of creating a novel store of value that operates independence on any nation's fiscal and monetary policies, diverging from the principles of mainstream economics. The study is set against the backdrop of economic slowdown and diminished confidence in the banking sector during 2023, which posed challenges to traditional financial systems. The research applies the concept of the correlation between Bitcoin and gold as a safe-haven asset to provide evidence supporting Bitcoin's qualification as a safe-haven asset. Secondary data used in this study include daily time-series data of closing prices for ten assets: Bitcoin (BTC), gold, U.S. stock indices, and bank sector stocks. The analysis divides the study period into two phases: (1) 2022, characterized by a global economic slowdown, and (2) 2023, when the global economy faced continued deceleration and eroding confidence in the banking sector. The study employs the Vine Copula model to analyze relationships. The findings reveal that Bitcoin exhibits a relationship with gold, a recognized safe-haven asset, during periods of economic downturn and declining trust in banks. However, Bitcoin shows no significant correlation or independence from U.S. stock markets and bank sector stocks. Furthermore, Bitcoin does not demonstrate the ability to serve as a hedge during bearish markets. A comparative analysis of relationship structures between the two periods indicates that after the onset of the economic slowdown and the banking crisis, Bitcoin began to exhibit a positive, albeit indirect, relationship with safe-haven assets (gold) while maintaining its independence from other studied markets.
Keywords: Bitcoin, Safe-haven assets, Gold, Economic downturn and Vine copula model.
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