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This study aims to analyze the characteristics of gold as a diversifier, a hedge or a safe haven against the stock market collapse in five countries. We propose the standard and quantile techniques in the volatility models, with the time-varying conditional variance of the regression residuals based on the TGARCH specifications. Gold exhibits considerable evidence of the strong hedge in India and the US and diversified role in China. With regards to its role as a safe haven, gold retains its status as a key investment particularly in a country where gold has a preeminent cultural role, i.e., India, as well as in the US and the UK. On the contrary, gold only plays a minor role in emerging markets like in Malaysia. Therefore, investors in India and the US can use gold to protect against losses in the stock market at all times, whereas in the UK, gold is only viewed as a profitable asset to own during the stock market collapse. Contrariwise, Chinese investors should hold a well-diversified portfolio to earn sustainable returns and offer protection against the stock market collapse. We conclude that the recent worldwide financial crises have increased the investment demand for gold over the last 17 years at least.

This study investigates gold as a hedge or a safe haven against inflation in four countries. We propose two standard and quantile techniques in the volatility models, with a time-varying conditional variance of regression residuals based on TGARCH specifications. Gold exhibits considerable evidence of a strong hedge in the US and China. Nevertheless, gold provides shelter at different times and not consistently across countries. With regards to be a safe haven, gold retains its status as a key investment in China. On the other hand, gold only plays a minor role in the UK and India. These findings indicate that gold can secure Chinese investment during the high inflationary periods, while gold is a profitable asset to hold over a long period of time in the US. In contrast, UK and Indian investors should hold a well-diversified portfolio for sustainable return and protection from purchasing power loss.

In this study, we investigate how adding Bitcoin can influence the investment portfolios. For this purpose, we consider a portfolio including Bitcoin and the five major sector indices of the Tehran Stock Exchange (TSE). At first, the asset returns are predicted through an estimation model based on higher moments. In the second step, the properties of Bitcoin in the face of other assets in a portfolio are studied by the asymmetric dynamic conditional correlation (ADCC) model. Then, the optimal weights in the portfolios are estimated. Accordingly, we used four portfolio optimization models with different objective functions, including a hybrid function of the higher moments, predicted risk from the ADCC model, and maximizing Sharpe and Sortino ratios. The out-of-sample results showed the relative efficiency of the proposed model in predicting the asset returns in Tehran Stock Exchange. In addition, the results of the ADCC model showed that Bitcoin plays a risk-hedging role for the pharmaceutical and banking sectors in TSE. We also know Bitcoin as a safe haven for the banking, petrochemical, metals, automobile, and pharmaceutical sectors. The results of portfolio selection also prove the effectiveness of adding Bitcoin with a maximum weight of 10% in the investment portfolios.

This paper examines the nonlinear (NL) asymmetric long- and short-run interconnections between energy indices (S&P 500-ENERGY, MSCI-CHINA, and MSCI-WORLD) and the crypto (Bitcoin) market. The daily data have been used from January 1, 2013, to February 24, 2023, archived from the wind database. We use a nonlinear autoregressive distributed lag (NARDL) framework for the research to be empirical. The NARDL test reveals the presence of a nonlinear asymmetric relationship, both in the long-run and short-run, among the MSCI-China, MSCI-World, S&P500-ENERGY indices, and the price of Bitcoin. The S&P 500 energy index and Bitcoin price have an inverse asymmetric connection. The prices of Bitcoin are positively influenced by both positive and negative shifts in the MSCI-CHINA and MSCI-WORLD indices. Overall, this study underscores the growing significance of the cryptocurrency market as a hedge against risks, offering evidence that Bitcoin can be perceived as a safe haven amidst the turbulence of the energy market. This insight holds implications for Bitcoin investors, suggesting its potential as a refuge in times of energy market instability.

In this study, we compare the role and the safe-haven properties of bitcoin and gold against developed and emerging market indices during extreme market conditions as the COVID-19 crisis. We explore the effects of adding bitcoin and gold to an optimal portfolio by relying Sharpe ratio and genetic algorithm approach. We use a stochastic dominance approach to compare the performance of portfolios for each scenario. The results show that by adding bitcoin, the portfolio performance improves only during the sovereign debt crisis. However, during the non-crisis period and during the COVID-19 crisis, the portfolios with and without bitcoin do not dominate, this shows that bitcoin does not act as a safe-haven. However, our results affirm the safe-haven nature of gold during the COVID-19 crisis.

Bitcoin has several features that set it aside from traditional currencies. Digital convenience ensures the safety and convenience of Bitcoin users, while decentralization also poses as a primary benefit. Not only does this specific type of cryptocurrency portray many advantages, it also positions several disadvantages as well. Extreme volatility and the impact of negative externalities on the value of Bitcoin contribute to the assessment of Bitcoin trends in the market. The recent outbreak of the coronavirus (COVID-19) has shown evidence of influencing Bitcoin prices as the virus is spread across continents, leaving the global financial environment in turmoil. The classification of Bitcoin as either a portfolio diversifier, a hedge or a safe haven is dependent on various factors, including the global economic uncertainty. Analyzing the literature on the influence of the crisis on the Bitcoin movement will provide an explanation as to why COVID-19 has had such a significant impact on the global financial markets, especially that of cryptocurrencies.