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Jamal Bouoiyour, Refk Selmi and Mark E. Wohar
 
''Bitcoin: competitor or complement to gold?''
( 2019, Vol. 39 No.1 )
 
 
This study seeks to address whether Bitcoin ever match or even replace gold as a safe haven. To this end, we use a dynamic Markov-switching copula model to test the complementarity and substitutability among Bitcoin and gold within two risk scenarios (i.e., low- and high-risk regimes). Our results reveal a positive and strong correlation between gold and Bitcoin returns coinciding with specific economic and political events. Gold and Bitcoin benefit from the same economic conditions. This suggests that gold and Bitcoin are likely to be complementary, rather than in competition with each other. Gold could act as a diversifier for investors in digital assets. But the Bitcoin have a lot to teach gold in terms of the efficient transfer of value.
 
 
Keywords: Bitcoin, gold, testing for complementarity and substitution, Markov-switching copula model.
JEL: F3 - International Finance: General
G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : Sep 29 2018 Manuscript Accepted : Feb 02 2019

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