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Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

2020; Elsevier BV; Volume: 35; Linguagem: Inglês

10.1016/j.frl.2020.101607

1544-6123

Thomas Conlon, Richard McGee,

Crime, Illicit Activities, and Governance

The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this paper, we show that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops. When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk. Our empirical findings cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.