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Is Bitcoin a Safe Haven?

Stockfors, William LU (2023) NEKH02 20222
Department of Economics
Abstract
The objective of this bachelor thesis is to assess the safe haven property of Bitcoin by conducting an augmented Dickey-Fuller test and Engle and Granger cointegration test with price data from the COVID-19 crash. The analysis revealed a cointegration relationship between Bitcoin and the S&P 500, indicating a long-run equilibrium between the two and thus providing evidence against the safe haven property. Using the same approach on data from the period 2016-01-04 to 2019-09-30, no evidence of cointegration was found. The results are discussed in relation to previous research and the efficient market hypothesis.
Please use this url to cite or link to this publication:
author
Stockfors, William LU
supervisor
organization
course
NEKH02 20222
year
type
M2 - Bachelor Degree
subject
keywords
Cointegration Bitcoin S&P 500 Safe Haven
language
English
id
9107514
date added to LUP
2023-06-07 10:45:47
date last changed
2023-06-07 10:45:47
@misc{9107514,
  abstract     = {{The objective of this bachelor thesis is to assess the safe haven property of Bitcoin by conducting an augmented Dickey-Fuller test and Engle and Granger cointegration test with price data from the COVID-19 crash. The analysis revealed a cointegration relationship between Bitcoin and the S&P 500, indicating a long-run equilibrium between the two and thus providing evidence against the safe haven property. Using the same approach on data from the period 2016-01-04 to 2019-09-30, no evidence of cointegration was found. The results are discussed in relation to previous research and the efficient market hypothesis.}},
  author       = {{Stockfors, William}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Is Bitcoin a Safe Haven?}},
  year         = {{2023}},
}