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The purpose of the study is to analyze the hedging abilities of the cryptocurrencies vis-à-vis gold against macroeconomic shocks in four emerging economies, India, China, Brazil and Russia.

Using the monthly data from January 2013 to April 2023, the paper analyses the response of Cryptocurrencies vis-à-vis gold prices to three different macroeconomic shocks, namely, the economic policy uncertainty shock, the financial uncertainty shock and the inflation shock, within a VAR framework with the help of the Generalized Impulse Response Function.

Both gold and cryptocurrencies have limited hedging abilities against macroeconomic shocks across countries. In India, bitcoin has become the new digital gold, while in China, it is not bitcoin but rather gold that retains its hedging abilities. Neither bitcoin nor gold, Binance Coin or Cardano, are found to be the new digital gold in Brazil and Russia.

The paper compares the top nine cryptocurrencies with the traditional asset gold in terms of their hedging potential against macroeconomic shocks in emerging countries.

This paper aims to evaluate the hedging and safe haven properties of gold, cryptocurrency and commodities against the Indian equity market.

First, the authors estimate the hedging and safe haven abilities of gold, cryptocurrency and commodities for the Indian stock market and further verify whether such properties vary across the broad stock market indices and over the different degrees of market volatility. Second, the authors use the multivariate GARCH framework to calculate the dynamic hedge ratios and hedging efficiencies to compare the hedging properties of the alternative asset classes. Third, the authors verify the robustness of the general findings during the recent crisis emanating from the outbreak of the COVID-19 pandemic.

Gold, cryptocurrency and most commodities have significant hedging abilities. Only natural gas, crude oil and aluminum, on the other hand, have safe haven property. Neither gold nor cryptocurrency qualifies as a safe haven asset. On the other hand, the financialization of the Indian commodities market provides a significant dividend to investors in terms of hedging and safe haven capabilities. The authors find the least negative hedge ratio and the highest positive hedging effectiveness for the stock-crude oil and stock-natural gas portfolios. The central observations of the paper remain immune to the COVID crisis.

Focusing on the Indian equity market, the paper compares the diversification abilities of traditional assets like gold with those of the modern class of assets, including cryptocurrency and other commodities.