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Reduce extreme losses and retain extreme profits through hedging with gold and cryptocurrencies: A global stock market perspective

cris.lastimport.scopus2025-10-23T06:55:19Z
cris.virtual.author-orcid0000-0001-7655-6046
cris.virtual.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
cris.virtualsource.author-orcida7f0f1aa-ae71-4fd2-9b4b-6277b57acdc3
cris.virtualsource.author-orcid#PLACEHOLDER_PARENT_METADATA_VALUE#
dc.abstract.enThe study focuses on the safe-haven and hedging properties of gold and selected cryptocurrencies against stock markets' extreme risk observed during the COVID-19 pandemic and the Russian invasion of Ukraine. The loss reduction is compared with the profit sacrifice obtained through hedging in terms of the tail thickness of the return distribution. The findings show that gold is able to reduce extreme losses more intensively than extreme profits. Tether reduces volatility and tail risk the most effectively but it is characterised by the worst profit/risk ratio. Bitcoin and Ether increase investment risk; thus, they fail to act as an effective hedge or a safe haven. On the other hand, these cryptocurrencies added to the stock portfolio increase the probability of extreme profits more than extreme losses. The paper provides new insights into the benefits of safe-haven or hedging strategies.
dc.affiliationWydział Ekonomiczny
dc.affiliation.instituteKatedra Finansów i Rachunkowości
dc.contributor.authorEchaust, Krzysztof
dc.contributor.authorJust, Małgorzata
dc.date.access2025-02-03
dc.date.accessioned2025-02-03T10:35:47Z
dc.date.available2025-02-03T10:35:47Z
dc.date.copyright2024-11-29
dc.date.issued2023
dc.description.abstract<jats:p>The study focuses on the safe-haven and hedging properties of gold and selected cryptocurrencies against stock markets' extreme risk observed during the COVID-19 pandemic and the Russian invasion of Ukraine. The loss reduction is compared with the profit sacrifice obtained through hedging in terms of the tail thickness of the return distribution. The findings show that gold is able to reduce extreme losses more intensively than extreme profits. Tether reduces volatility and tail risk the most effectively but it is characterised by the worst profit/risk ratio. Bitcoin and Ether increase investment risk; thus, they fail to act as an effective hedge or a safe haven. On the other hand, these cryptocurrencies added to the stock portfolio increase the probability of extreme profits more than extreme losses. The paper provides new insights into the benefits of safe-haven or hedging strategies.</jats:p>
dc.description.accesstimeat_publication
dc.description.bibliographyil., bibliogr.
dc.description.financepublication_nocost
dc.description.financecost0,00
dc.description.number4
dc.description.points40
dc.description.versionfinal_published
dc.description.volume70
dc.identifier.doi10.59139/ps.2023.04.2
dc.identifier.eissn2657-9545
dc.identifier.issn0033-2372
dc.identifier.urihttps://sciencerep.up.poznan.pl/handle/item/2426
dc.identifier.weblinkhttps://ps.stat.gov.pl/Article/2023/4/037-072
dc.languageen
dc.relation.ispartofPrzegląd Statystyczny. Statistical Review
dc.relation.pages37–72
dc.rightsCC-BY-SA
dc.sciencecloudnosend
dc.share.typeOPEN_JOURNAL
dc.subject.engold
dc.subject.encryptocurrencies
dc.subject.enconditional value at risk
dc.subject.endistribution tail
dc.subject.enhedging
dc.subject.ensafe haven
dc.titleReduce extreme losses and retain extreme profits through hedging with gold and cryptocurrencies: A global stock market perspective
dc.typeJournalArticle
dspace.entity.typePublication
oaire.citation.issue4
oaire.citation.volume2023