Grandpa, grandpa, tell me the one about Bitcoin being a safe haven: Evidence from the COVID-19 pandemics

TL;DR

This study examines Bitcoin's role as a safe haven during the COVID-19 pandemic, comparing its correlation with traditional assets like gold, S&P 500, and VIX, and finds gold to be the more reliable safe haven.

Contribution

The paper provides empirical evidence that Bitcoin does not serve as a safe haven during crises, contrasting it with gold's proven safe haven status.

Findings

Bitcoin's safe haven claim is unsubstantiated during COVID-19.

Gold outperforms Bitcoin as a safe haven asset.

Quantile correlation analysis reveals gold's stability in crises.

Abstract

Bitcoin being a safe haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e. approximately since 2013, there has been no severe situation on the financial markets globally to prove or disprove this story until the COVID-19 pandemics. We study the quantile correlations of Bitcoin and two benchmarks -- S\&P500 and VIX -- and we make comparison with gold as the traditional safe haven asset. The Bitcoin safe haven story is shown and discussed to be unsubstantiated and far-fetched, while gold comes out as a clear winner in this contest.