Bouri, E., Molnar, P., Azzi, G., Roubaud, D. and Hagfors, L.I. (2017b) On the Hedge and Safe Haven Properties of Bitcoin: Is It Really More than a Diversifier? Finance Research Letters, 20, 192-198.
https://doi.org/10.1016/j.frl.2016.09.025

has been cited by the following article:

• TITLE: Bitcoin and Gold Prices: A Fledging Long-Term Relationship

  AUTHORS: Hélène Syed Zwick, Sarfaraz Ali Shah Syed

  KEYWORDS: BitCoin, Gold Prices, Structural Break, Threshold Regression

  JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.7, October 11, 2019

  ABSTRACT: This study applies threshold regression model in a bivariate framework to explore the nonlinear long-term relationship among Bitcoin and gold prices over the period 2010-2018. Results are threefold: first, we show that gold is a significant predictor of Bitcoin prices. Second, we find evidence of a non-linear relationship between Bitcoin and gold prices characterized rather by a two-regime relationship with a structural break occurring in October 2017. Third, before the break, there is significant, negative but weak causality indicating that Bitcoin is a speculative asset. After the break, the relationship becomes significantly positive revealing diversifier and hedge properties of Bitcoin.