Is Bitcoin a digital gold?

This thesis investigates whether Bitcoin can be considered as a digital gold in terms of its hedging and safe haven characteristics. We use Bitcoin returns and stock market returns for 16 different stock markets belonging to 12 countries. The weekly data set covers the period between 2015 and 2021, and we use the GARCH (1,1) model to test the research question. Furthermore, to determine the safe haven property, we take into account how Bitcoin returns behave when tail risks materialize in different countries. For this, we take the 1%, 5%, and 10% quantiles representing extreme equity market movements and add to the model as dummy variables. The model results indicate that Bitcoin is not a hedging instrument for any stock market investments in our sample, meaning that it does not mitigate adverse shocks on average. However, Bitcoin can be a diversifier tool for all stock markets. Regarding the safe haven properties, the results vary for different stock markets and the predetermined quantiles. We conclude that, although Bitcoin shows safe haven propertis for some stock exchanges at 0.01 and 0.05 quantiles, it cannot be considered as a digital gold in general.