Bitcoin for energy commodities before and after the December 2013 crash: diversifier, hedge or safe haven?

We study the relationship between Bitcoin and commoditiesby assessing the ability of Bitcoin to act as a diversifier, hedge, or safe havenagainst daily movements in commoditiesin general, and energy commoditiesin particular. We focus on energy commoditiesbecause energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe- havenagainst movements in both commodityindices. We further examine whether that ability is also present for non-energy commoditiesand our analysis show insignificant results when energy commoditiesare excluded from the general commodityindex. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe- havenproperties against commoditiesand energy commoditiesare only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.