Market turmoil, such as that induced by Covid-19, tends to create huge pressure on financial markets, forcing decision-makers and investors to analyze risks and manage their investment portfolios. Taking the market turmoil induced by Covid-19 as an example, this study addresses the question of whether Bitcoin exhibits a hedging and safe haven property during the period of turmoil. We employ the TVP-VAR approach to investigate return spillovers and interconnectedness among Bitcoin and stock, money, and bond markets. In addition, we employ three portfolio techniques, including minimum variance portfolios, minimum correlation portfolios, and minimum connectedness portfolios, to evaluate the Sharpe ratios of the portfolios as well as the cumulative return before and during the epidemic. The results demonstrate that incorporating Bitcoin decreases total connectedness across markets, and Bitcoin provides stronger hedging and safe haven capabilities. Notably, the portfolio with minimum connectedness approach reaches the highest Sharpe ratio during the pandemic.

中文翻译：

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比特币在动荡期间是对冲资产还是避险资产？来自货币、债券和股票市场的证据


市场动荡，例如由 Covid-19 引发的动荡，往往会给金融市场带来巨大压力，迫使决策者和投资者分析风险并管理他们的投资组合。以 Covid-19 引发的市场动荡为例，本研究解决了比特币在动荡期间是否表现出对冲和避险属性的问题。我们采用 TVP-VAR 方法来调查比特币与股票、货币和债券市场之间的回报溢出和相互关联性。此外，我们采用最小方差投资组合、最小相关性投资组合和最小连通性投资组合三种投资组合技术来评估投资组合的夏普比率以及疫情前后的累积收益。结果表明，纳入比特币会降低市场之间的总连通性，而比特币提供了更强的对冲和避险能力。值得注意的是，在疫情期间，具有最小连通性方法的投资组合达到了最高的夏普比率。