Cryptocurrencies as hedges and safe-havens for US equity sectors

•Examine the hedging and safe-haven properties of cryptocurrencies.•Cross-quantilogram approach is used.•Bitcoin, Ripple and Stellar are safe-havens for all US equity indices.•Litecoin and Monero are safe-havens for the US market-wide equity index.•Investors can offset equity losses with new cryptoc...

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Bibliographic Details
Published in:The Quarterly review of economics and finance 2020-02, Vol.75, p.294-307
Main Authors: Bouri, Elie, Hussain Shahzad, Syed Jawad, Roubaud, David
Format: Article
Language:English
Subjects:
Bitcoin
Cryptocurrencies
Hedge
Quantiles
Safe-haven
US equity sectors
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Summary:•Examine the hedging and safe-haven properties of cryptocurrencies.•Cross-quantilogram approach is used.•Bitcoin, Ripple and Stellar are safe-havens for all US equity indices.•Litecoin and Monero are safe-havens for the US market-wide equity index.•Investors can offset equity losses with new cryptocurrencies. We uncover the hedging and safe-haven properties of eight cryptocurrencies against down movements in the S&P 500 and its 10 equity sectors. Evidence from the cross-quantilogram approach supports many cryptocurrencies as a potentially valuable digital asset class. However, a significant heterogeneity is reported in many cases. Bitcoin, Ripple and Stellar are safe-havens for all US equity indices, while Litecoin and Monero are safe-havens for the aggerate US equity index and selected sectors. As for Ethereum, Dash and Nem, they are hedges for few equity sectors. Our findings help investors in improving their ability to offset equity losses with new cryptocurrencies.
ISSN:1062-9769
1878-4259
DOI:10.1016/j.qref.2019.05.001