To Examine the Hedge and Safe Heaven Properties of Gold and Bitcoin During Covid-19: Evidence From Islamic and Conventional Stock Market of Pakistan

Abstract

This study aimed to examine the hedge and safe heaven properties of gold and Bitcoin during Covid-19 pandemic. Present research has used gold and Bitcoin as independent variables. Hedge property and safe heaven property were used as dependent variables. Stock market volatility, inflation rate, exchange rate, and interest rate were used as control variables. This study used conventional stock market and Islamic stock market for conducting this research in order to identify the significant relationship between variables of this study. Data regarding gold price, Bitcoin price, hedge property, safe heaven property, stock market volatility, inflation rate, exchange rate, and interest rate from the period of 2019 to 2022 (48 months) was collected for assessing the relationship between study‘s variables. STATA software was used based on statistical tests (correlation and regression analysis) for proceeding data analysis and identifying the extent and direction of relationship between gold, Bitcoin, hedge property and safe heaven property. Correlation and regression analysis has revealed a significant positive relationship between gold price (independent variable) and hedge property (dependent variable) in conventional stock market of Pakistan, accepting H1. In addition, correlation and regression analysis has revealed a significant positive relationship between Bitcoin price (independent variable) and safe heaven property (dependent variable) in conventional and Islamic stock markets of Pakistan, accepting H2 and H4. Based on the findings of current study, it was concluded that gold exhibits hedge property in conventional stock market of Pakistan. Furthermore, findings have also shown that Bitcoin demonstrates safe heaven property in conventional and Islamic stock markets in Pakistan.