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1. Introduction
It is a well-known fact that stock markets events are often highly and sensitively correlated, due mainly to contagious transmissions, likely to culminate in investor incurred losses and widespread panic throughout the shock persistent circumstances (Kokholm, 2016). Indeed, a negative shock affecting a single market might well increase the probability of negative shock transmissions to other markets (Aït-Sahalia et al., 2015). In fact, following the persistence of such extreme loss events, correlations among the various asset classes turn out to remarkably increase, engendering a noticeable reduction in the global investors' diversification benefits on developed and emerging financial markets. For example, McManus et al. (2009) find that the diversification benefits that can be earned by investors across the emerging equity markets of Indonesia and Malaysia during the crisis period of 2007 tend to decrease.
In this respect, and following periods of financial turmoil, such as those experienced over the last decade, investors continue to look for effective alternative investment mechanisms likely to help in efficiently maintaining fruitful diversification benefits, protective hedging and safe haven advantages. More recently, the Bitcoin has turned out to be rather appealing to investors simultaneously as a hedge and a safe haven asset. It has been discovered to represent an authentic alternative to the traditional safe havens. It stands as an attractive new asset bearing the properties of a currency, though with some special characteristics making it a viable haven. These features, coupled with a vocal and loyal back up, enabled the Bitcoin to represent a remarkable alternative whereby exposure to stock volatility can be reduced significantly. Over the past, the Bitcoin was often labeled as “digital gold,” owing mainly to its weak relationship with all other assets–stocks. In the relevant literature, however, not enough information is available as to the extent to which the Bitcoin may provide diversification, hedging and safe haven properties for a global stock market portfolio (Briere et al., 2015; Dyhrberg, 2016b; Bouri et al., 2017b; Baur et al., 2018b; Guesmi et al., 2019; Urquhart and Zhang, 2019; Smales, 2019; Kliber et al., 2019; Shahzad et al., 2019, 2020; Bouri et al., 2020b; Garcia-Jorcano and Muela, 2020).
Hence, compared to the high gold status, the Bitcoin is liable...