The hedge asset for BRICS stock markets: Bitcoin, gold or VIX

The hedge asset for BRICS stock markets: Bitcoin, gold or VIX

We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross‐quantilogram approach indicate that bitcoin and gold are weak hedges. Analysis from the recursive sa...

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Bibliographic Details
Published in:World economy Vol. 45; no. 1; pp. 292 - 316
Main Authors: Shahzad, Syed Jawad Hussain, Bouri, Elie, Rehman, Mobeen Ur, Roubaud, David
Format: Journal Article
Language:English
Published: Oxford Blackwell Publishing Ltd 01-01-2022
Subjects:
Assets
Benefits
bitcoin
BRICS stock markets
COVID-19
Digital currencies
Diversification
Economic analysis
Futures
Gold
hedge
Hedging
Investors
Sampling
Securities markets
Stock exchanges
US VIX futures
BRICS countries
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Summary:We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross‐quantilogram approach indicate that bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of bitcoin, gold and VIX futures has a time‐varying hedging role in some BRICS countries, which has been shaped by the COVID‐19 outbreak. Results from the conditional diversification benefits show appealing roles for the three alternative assets for investors in BRICS stock markets. However, gold appears to have higher and more stable diversification benefits in China, especially during the COVID‐19 outbreak. Conversely, VIX futures offer higher diversification benefits in Brazil, Russia, India and South Africa during the abrupt of the COVID‐19 outbreak.
ISSN:0378-5920
1467-9701
DOI:10.1111/twec.13138