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This paper applies the multivariate GARCH models to investigate the role of Bitcoin as a hedge and safe haven for ASEAN+6 stock markets compared to gold. We used daily data for the dates 2 January 2017–20 January 2023, covering the recent COVID-19 pandemic. The empirical findings provide...
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presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …
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