Grandpa, Grandpa, Tell Me the One About Bitcoin Being a Safe Haven: New Evidence From the COVID-19 Pandemic

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 pandemic. We study the quantile correlations of Bitcoin and two benchmarks—the S&P 500 and VIX—and 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 even when a broader cryptocurrency index (CRIX) is considered.