Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

Tony Klein, Hien Pham Thu

Research output: Other contribution

497 Citations (Scopus)


Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and nd differences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with flight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and nd no evidence for hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not reflect any distinctive properties of Gold other than asymmetric response in variance.
Original languageEnglish
TypeWorking paper on SSRN
Number of pages26
Publication statusPublished - 2018

Publication series

NameWorking Paper on SSRN


  • asymmetry
  • bekk
  • bitcoin
  • c10
  • c58
  • conditional
  • correlation
  • crix
  • cryptocurrency
  • g11
  • garch
  • gold
  • jel classification
  • long memory
  • we thank wolfgang h


Dive into the research topics of 'Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance'. Together they form a unique fingerprint.

Cite this