Is Bitcoin a Safe Haven?

Abstract: The objective of this bachelor thesis is to assess the safe haven property of Bitcoin by conducting an augmented Dickey-Fuller test and Engle and Granger cointegration test with price data from the COVID-19 crash. The analysis revealed a cointegration relationship between Bitcoin and the S&P 500, indicating a long-run equilibrium between the two and thus providing evidence against the safe haven property. Using the same approach on data from the period 2016-01-04 to 2019-09-30, no evidence of cointegration was found. The results are discussed in relation to previous research and the efficient market hypothesis.