Is Bitcoin the best safe haven against geopolitical risk ?

Abstract

We revisit the ability of well-known safe havens to protect U.S equity against geopolitical risk. Using S&P 500 and GPR index weekly data we estimate a crash model where the equity crash probability is driven by geopolitical risk. We find that Bitcoin and the Swiss Franc function as safe havens in relation to geopolitical risk in times of market crashes while Gold and Treasury bonds do not. Our results show that the protective aspects of Bitcoin and the Swiss Franc mainly show through large stock market moves rather than during moderate variations.