Are bitcoin and gold safe haven assets? Evidence from Thailand

Authors

  • Suthawan Prukumpai Department of Accounting, The Faculty of Business Administration, Kasetsart University, Chatuchak, Bangkok 10900, Thailand
  • Yuthana Sethapramote School of Development Economics, National Institute of Development Administration, Bangkapi, Bangkok 10240, Thailand Abstract

Keywords:

Bitcoin, DCC-GARCH, dummy variable regression, gold, safe haven

Abstract

This paper aims to investigate the role of Bitcoin and gold in equity portfolio formation. The dynamic relationships among four asset classes: Bitcoin, gold, equities, and bonds are examined, using Thai data from April 30, 2013 to February 27, 2021. The dynamic conditional correlations based on the DCCGARCH model show that stock-gold correlations are generally negative while stock-Bitcoin correlations are close to zero. Interestingly, stock-bond correlations display the highest value over time. The spillover indices also show that gold and Bitcoin are less connected with stock while bonds receive the largest spillover from stock. To formally test which assets can be used as a safe haven against stock, dummy variable regression models with three different dependent variables: namely asset returns, DCCs, and pairwise spillovers are estimated. The results from the dummy variable regressions reveal that only gold acts as a safe haven for Thai equity portfolio. Moreover, Bitcoin and bonds tend to provide weaker diversification benefits than gold.

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Published

20-06-2023

How to Cite

Prukumpai, S. ., & Sethapramote, Y. . (2023). Are bitcoin and gold safe haven assets? Evidence from Thailand. Kasetsart Journal of Social Sciences, 44(2), 419–428. Retrieved from https://so04.tci-thaijo.org/index.php/kjss/article/view/266268

Issue

Section

Research articles