Which is Efficient to Hedge against Capital Markets, between Bitcoin and Gold?

The paper studies the relationship between Bitcoin and gold against the ‘various 7 stock markets’ and the ‘various 7 exchange markets’ together and the comparison of the Bitcoin and gold hedging capabilities over the period 2010.7.20.-2017.12.27.(1943 daily observations) using VARMA ASYMM. VGARCH (ASYMM. BEKK). The paper finds that gold hedges against S&P 500 and FTSE100. Bitcoin hedges weakly against S&P 500 while it does positively (adversely) against FTSE100. Gold hedges stronger against stocks than Bitcoin. The study also shows that gold hedges against exchanges in EUUS, CAUS, and INUS. Bitcoin hedges weakly against exchange markets, while (adversely) hedging against KOUS. It reveals that the portfolio composed of ‘both stock markets and exchange markets’ leads to a better fitted and more efficient model than that of stock markets only or exchange markets only. Hedging capabilities against exchanges are found to be stronger than those against stock markets. Cross-terms can never be negligible so that BEKK appears to be better fitted than otherwise. Fostering Bitcoin immune to the adverse malfunctions might be vigilantly expected to make the finance richer and deeper, equipped with its various hedging capabilities if skyrocketing unexpected risks could be controlled or at least considerably dampened to the governable range, depending on the geographical locations of stock and exchange markets, expanding the scope and deepening the depth of gold hedging capabilities against various assets.