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Gold, oil, and stocks as safe havens for Bitcoin
Název práce v češtině: Zlato, ropa a akcie jako bezpečné přístavy pro Bitcoin
Název v anglickém jazyce: Gold, oil, and stocks as safe havens for Bitcoin
Klíčová slova: Bitcoin, Bezpečný přístav, Zlato, Kryptoměny
Klíčová slova anglicky: Bitcoin, Safe haven, Gold, Cryptocurrency
Akademický rok vypsání: 2020/2021
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: prof. PhDr. Ladislav Krištoufek, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 22.09.2021
Datum zadání: 22.09.2021
Datum a čas obhajoby: 08.06.2022 09:00
Místo konání obhajoby: Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105
Datum odevzdání elektronické podoby:02.05.2022
Datum proběhlé obhajoby: 08.06.2022
Oponenti: Mgr. Josef Kurka
Kontrola URKUND:
Seznam odborné literatury
1. Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
2. Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019). Is Bitcoin a better safe-haven investment than gold and commodities?. International Review of Financial Analysis, 63, 322-330.
3. Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229.
4. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.
5. Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. https://bitcoin.org/bitcoin.pdf
6. Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018). Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. Energy Economics, 74, 787-801.
7. Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?. Finance Research Letters, 20, 192-198.
8. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607.
Předběžná náplň práce
Research question and motivation

Bitcoin was first introduced by Nakamoto, S. (2008) as a peer-to-peer electronic cash system. Since then many more cryptocurrencies were created such as Ethereum, Litecoin, or Dogecoin based on an internet meme. Although Bitcoin has many competitors it is still the most valuable cryptocurrency and as of July 2021 Bitcoin makes about half of the total cryptocurrency market cap according to https://coinmarketcap.com/.

Bitcoin is an attractive asset for investors for its decentralized nature, accessibility, and low trading fees but is also known for its significant price movements. Daily double-digit inclines and declines are not unusual. Investors with Bitcoin-oriented portfolios experience immense short-term losses during market turmoil.

The purpose of this thesis is to examine whether gold, oil, or stocks are safe havens for Bitcoin using Baur, D. G., & Lucey, B. M. (2010) definition of safe haven. In other words, whether these assets are uncorrelated or negatively correlated with Bitcoin in times of market stress or turmoil. The findings of this thesis might help Bitcoin-oriented investors decide what is the best strategy during market turmoil.


The thesis puts in the foreground Bitcoin as a base asset. There are many papers on Bitcoin as a safe haven for stocks for example Shahzad, S. J. H., Bouri, E., Roubaud, D., Kristoufek, L., & Lucey, B. (2019) or Bitcoin as a safe haven for oil price movements Selmi, R., Mensi, W., Hammoudeh, S., & Bouoiyour, J. (2018), other papers inspecting safe haven properties of Bitcoin are for instance Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017) or a more recent one from Covid-19 pandemic by Conlon, T., & McGee, R. (2020).

But to the best of the author's knowledge, no paper concentrates solely on traditional assets as a safe haven for Bitcoin. Another extension to the existing literature is the use of data from the turbulent Covid-19 pandemic period when Bitcoin surpassed a $1 trillion market cap for the first time. The results will then be compared with the findings of extensive existing literature on the topic of Bitcoin as safe haven for other assets.


We will analyze daily prices data for an ounce of gold, Crude Oil WTI, S&P500, and Bitcoin. For this purpose Dynamic Conditional Correlation estimators first proposed by Engle, R. (2002) will be used. This approach is also used by Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013) for the advantage of providing time-varying correlations and dynamic relationships across pairs of return series. Another method that we will use is quantile regression.

As mentioned above we want to examine whether traditional assets are safe haven for Bitcoin that is analyzing correlations during market stress. Baur and Lucey (2010) solve this problem with the quantile regression approach using this method we can estimate correlations in the case when return is in the q%-th quantile, such as the 5% or 1% quantile.

1. Introduction
2. Literature review
3. Data and Methodology
4. Results
5. Conclusion
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