Is Bitcoin really more than a diversifier? A pre- and post-COVID-19 analysis

We examine whether Bitcoin can act as a safe haven against adverse movements of stock and bond assets in five major economies during the COVID-19 bear market. The empirical analyses are conducted using a Bayesian panel VAR method that captures potential interaction and heterogeneity across country/region-segmented markets. We find that Bitcoin in each target economy contributes to diversification benefits and/or risk mitigation both within and across borders, while its sheltering role against traditional assets varies among different economies. Further, we show that the COVID-19 outbreak has altered the role of Bitcoin in various segmented markets except for the US.