The main purpose of this study was to analyze the dynamics of the conditional correlation between Bitcoin and BOVA11 (a Brazilian stock market ETF that has seen a significant increase in foreign investors) across the pre-, during, and post-COVID-19 pandemic periods. This analysis allowed us to investigate the Bitcoin characteristics as a diversifier, hedge, or safe haven relative to the ETF. The study employed a DCC-GARCH model using daily closing prices from 2 January 2015 to 26 September 2025. A robustness check was conducted using Large Language Models (LLMs). Results indicated that in the pre- and post-pandemic periods, Bitcoin showed no significant correlation with the ETF, potentially acting as a weak hedge. Conversely, during the pandemic, Bitcoin behaved as a diversifier for the ETF rather than a safe haven. This finding may surprise market participants, particularly given the widespread narrative of Bitcoin as “digital gold” and, therefore, a natural protection in scenarios of high uncertainty. The results suggest that, during the pandemic, Bitcoin’s behavior aligned more closely with risk assets than with safe havens, underscoring the need for cautious, context-specific empirical assessments of its protective properties.
Dias et al. (Tue,) studied this question.