The hedge asset for BRICS stock markets: Bitcoin, gold or VIX

Shahzad, Syed Jawad Hussain; Bouri, Elie; Rehman, Mobeen Ur; Roubaud, David

Abstract

We compare the weak/strong hedging abilities of three alternative assets, namely bitcoin, gold and US VIX futures, against the downside movements in BRICS stock market indices. Results from the cross-quantilogram approach indicate that bitcoin and gold are weak hedges. Analysis from the recursive sampling shows that each of bitcoin, gold and VIX futures has a time-varying hedging role in some BRICS countries, which has been shaped by the COVID-19 outbreak. Results from the conditional diversification benefits show appealing roles for the three alternative assets for investors in BRICS stock markets. However, gold appears to have higher and more stable diversification benefits in China, especially during the COVID-19 outbreak. Conversely, VIX futures offer higher diversification benefits in Brazil, Russia, India and South Africa during the abrupt of the COVID-19 outbreak.

Citation

Shahzad, S. J. H., Bouri, E., Rehman, M. U., & Roubaud, D. (2022). The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. World Economy, 45(1), 292-316. https://doi.org/10.1111/twec.13138

• Journal Article Type: Article
• Acceptance Date: May 7, 2021
• Online Publication Date: May 27, 2021
• Publication Date: 2022-01
• Deposit Date: Jan 22, 2025
• Journal: The World Economy
• Print ISSN: 0378-5920
• Electronic ISSN: 1467-9701
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 45
• Issue: 1
• Pages: 292-316
• DOI: https://doi.org/10.1111/twec.13138
• Public URL: https://keele-repository.worktribe.com/output/1044338
• Publisher URL: https://onlinelibrary.wiley.com/doi/10.1111/twec.13138
• Additional Information: Received: 2019-06-17; Accepted: 2021-05-07; Published: 2021-05-27