0506911 20240103222327.520190726235959.9 85059781945 000469030800025 10.1016/j.irfa.2019.01.002 9 s. P cav_un_epca*03670441057-5219631 (2019)322-330Elsevier Bitcoin Cross-quantilogram Gold Commodities Stock indices Safe-haven Quantile cav_un_auth*0377615 Shahzad S. J. H. FR cav_un_auth*0377616 Bouri E. LB cav_un_auth*0377617 Roubaud D. FR cav_un_auth*0256902 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ S Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0377618 Lucey B. IE http://library.utia.cas.cz/separaty/2019/E/kristoufek-0506911.pdf https://www.sciencedirect.com/science/article/pii/S1057521918306604 cav_un_auth*0351447 GJ17-12386Y GA ČR CZ This paper addresses the timely question of whether Bitcoin exhibits a safe-haven property for stock market investments during extreme market conditions and whether such a property is similar to or different from that of gold and the general commodity index. We propose a new definition of a weak and strong safe-haven within a bivariate cross-quantilogram approach. This definition considers the lowest tails of both the safe-haven asset and the stock index. Our sample period spans from 19 July 2010 until 22 February 2018 and focuses on several stock market indices, including those of the US, China, and other developed and emerging economies. Our main results show that, at best, each of Bitcoin, gold, and the commodity index can be considered as a weak safe-haven asset in some cases. Rolling-window predictability analyses generally confirm those results and reveal that the safe-haven roles of Bitcoin, gold, and commodities are time-varying and differ across the stock market indices under study. WOS AH 50000 50200 50206 2020 5 RVO:67985556 http://hdl.handle.net/11104/0300867 S 1* Article Astronomy Astrophysics C BUSINESS.FINANCE 2.761 1.099 4.8 0.00403 0.526 2777 110 0.874 60.85 2.38 994 Q1 2.264 121 Q1 42.805 79.4 Q3 Q4 1.3 Q1 79.358 2019 85059781945 SCOPUS PUBMED 000469030800025 WOS cav_un_epca*0367044 International Review of Financial Analysis 1057-5219 1873-8079 Roč. 63 č. 1 2019 322 330 Elsevier