Abstract
Bitcoin is regularly referred to as new gold, digital gold or gold 2.0. If Bitcoin is indeed gold-like the correlation of Bitcoin and gold returns should be positive. We estimate the correlation of the two assets across time, across different return frequencies and across quantiles and find a near-zero correlation inconsistent with the claimed similarity. We offer two explanations for this puzzle: either the similarity is only a narrative and not accepted by investors or there are other forces at play that depress the true correlation. Such forces could be a substitution effect, investors sell gold and buy Bitcoin, and a catching up effect, investors buy Bitcoin to catch up with the market weight of gold. (C) 2021 Elsevier B.V. All rights reserved.
| Original language | English |
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| Article number | 100561 |
| Number of pages | 7 |
| Journal | Journal of Behavioral and Experimental Finance |
| Volume | 32 |
| DOIs | |
| Publication status | Published - Dec 2021 |