Is Bitcoin a Safe Haven?
(2023) NEKH02 20222Department 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:
http://lup.lub.lu.se/student-papers/record/9107514
- author
- Stockfors, William LU
- supervisor
- organization
- course
- NEKH02 20222
- year
- 2023
- 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}}, }