Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic

In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed cons...

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Autores principales:	Edgardo Cayón Fallon, Julio Sarmiento
Formato:	article
Lenguaje:	EN
Publicado:	LLC "CPC "Business Perspectives" 2021
Materias:	Bitcoin COVID-19 diversification idiosyncratic risk safe haven systemic risk Finance HG1-9999
Acceso en línea:	https://doaj.org/article/17c12c314a7341eb9e440df27c284f70
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spelling	oai:doaj.org-article:17c12c314a7341eb9e440df27c284f702021-11-24T07:31:19ZImpact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic10.21511/imfi.18(4).2021.191810-49671812-9358https://doaj.org/article/17c12c314a7341eb9e440df27c284f702021-11-01T00:00:00Zhttps://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/15848/IMFI_2021_04_Fallon.pdfhttps://doaj.org/toc/1810-4967https://doaj.org/toc/1812-9358In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.Edgardo Cayón FallonJulio SarmientoLLC "CPC "Business Perspectives"articleBitcoinCOVID-19diversificationidiosyncratic risksafe havensystemic riskFinanceHG1-9999ENInvestment Management & Financial Innovations , Vol 18, Iss 4, Pp 213-222 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Bitcoin COVID-19 diversification idiosyncratic risk safe haven systemic risk Finance HG1-9999
spellingShingle	Bitcoin COVID-19 diversification idiosyncratic risk safe haven systemic risk Finance HG1-9999 Edgardo Cayón Fallon Julio Sarmiento Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
description	In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of commodities and global stocks. For this purpose, the M-GARCH model employed considers the interdependence among all the portfolio assets by using a time-varying asset pricing framework. This framework measures the impact of commodities and global stock prices as sources of systemic risk for Bitcoin returns before and after the COVID-19 pandemic. The evidence suggests that during the COVID-19 pandemic, the effects of changes in commodities and global prices on the idiosyncratic risk of Bitcoin were statistically significant. The idiosyncratic risk of Bitcoin measured as a percentage of total variance not accounted for by the proposed model rose from 86.06% to 95.05% during the pandemic. These results are in line with previous studies regarding the properties of Bitcoin as a hedge or safe haven asset for a portfolio composed of commodities and global stocks.
format	article
author	Edgardo Cayón Fallon Julio Sarmiento
author_facet	Edgardo Cayón Fallon Julio Sarmiento
author_sort	Edgardo Cayón Fallon
title	Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_short	Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_full	Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_fullStr	Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_full_unstemmed	Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
title_sort	impact of commodities and global stock prices on the idiosyncratic risk of bitcoin during the covid-19 pandemic
publisher	LLC "CPC "Business Perspectives"
publishDate	2021
url	https://doaj.org/article/17c12c314a7341eb9e440df27c284f70
work_keys_str_mv	AT edgardocayonfallon impactofcommoditiesandglobalstockpricesontheidiosyncraticriskofbitcoinduringthecovid19pandemic AT juliosarmiento impactofcommoditiesandglobalstockpricesontheidiosyncraticriskofbitcoinduringthecovid19pandemic
_version_	1718415900152954880

Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic

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