Cryptocurrencies as hedges and safe-havens for US equity sectors.

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Date: Feb. 2020
Publisher: Elsevier Advanced Technology Publications
Document Type: Report; Brief article
Length: 215 words

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Abstract :

Keywords Bitcoin; Cryptocurrencies; Hedge; Safe-haven; US equity sectors; Quantiles Highlights * Examine the hedging and safe-haven properties of cryptocurrencies. * Cross-quantilogram approach is used. * Bitcoin, Ripple and Stellar are safe-havens for all US equity indices. * Litecoin and Monero are safe-havens for the US market-wide equity index. * Investors can offset equity losses with new cryptocurrencies. Abstract We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggerate US equity index and selected sectors. As for Ethereum, Dash and Nem, they are hedges for few equity sectors. Our findings help investors in improving their ability to offset equity losses with new cryptocurrencies. Author Affiliation: (a) USEK Business School, Holy Spirit University of Kaslik Jounieh, Lebanon (b) Montpellier Business School, Montpellier, France (c) South Ural State University, Russia * Corresponding author. Article History: Received 5 September 2018; Revised 7 February 2019; Accepted 5 May 2019 Byline: Elie Bouri [eliebouri@usek.edu.lb] (a), Syed Jawad Hussain Shahzad [j.syed@montpellier-bs.com] (b,c), David Roubaud [d.roubaud@montpellier-bs.com] (b)

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Gale Document Number: GALE|A617393208