*Article* **Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies**

**Panpan Wang 1,\*, Xiaoxing Liu <sup>1</sup> and Sixu Wu <sup>2</sup>**

<sup>2</sup> School of Urban and Regional Science, East China Normal University, Shanghai 200241, China

**\*** Correspondence: tjwangpanpan@163.com

**Abstract:** This study employs the ADCC-GARCH approach to investigate the dynamic correlation between bitcoin and 14 major financial assets in different time-frequency dimensions over the period 2013–2021, for which the risk diversification, hedging and safe-haven properties of bitcoin for those traditional assets are further examined. The results show that, first, bitcoin is positively linked to risk assets, including stock, bond and commodity, and negatively linked to the U.S. dollar, which is a safe-haven asset, so bitcoin is closer in nature to a risk asset than a safe-haven asset. Second, the high short-term volatility and speculative nature of the bitcoin market makes its long-term correlation with other assets stronger than the short-term. Third, the positive linkage between the prices of bitcoin and risk assets increases sharply under extreme shocks (e.g., the outbreak of COVID-19 in early 2020). Fourth, bitcoin can hedge against the U.S. dollar, and in the long term, bitcoin can hedge against the Chinese stock market and act as a safe haven for the U.S. stock market and crude oil. However, for most other traditional assets, bitcoin is only an effective diversifier.

**Keywords:** bitcoin; ADCC-GARCH; diversifier; hedge; safe haven

**Citation:** Wang, P.; Liu, X.; Wu, S. Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies. *Entropy* **2022**, *24*, 1565. https://doi.org/10.3390/ e24111565

Academic Editors: Stanisław Drozd˙ z,˙ Jarosław Kwapie ´n, Marcin W ˛atorek and Pierpaolo Vivo

Received: 14 September 2022 Accepted: 28 October 2022 Published: 30 October 2022

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