Replication data for: Bitcoin as Hedge or Safe Haven? Evidence from Asymmetric ARDL Using Weekly Data

This research studies whether Bitcoin performs as a hedge or safe haven for stock returns, comparing its effectiveness against gold by employing a Non-linear Autoregressive Distributed Lag (NARDL) model and utilize weekly data from January 2018 to October 2025. The analysis decomposes Bitcoin returns into positive and negative shocks to capture asymmetric impacts on S&P 500 with gold as a control variable. The results show that both in the short-run and long-run dynamics, Bitcoin’s negative shocks have a significant impact on equity returns, undermining its safe-haven narrative, while positive shocks have less significant effect. Contrary to this, gold consistently exhibits strong positive association with the stock market in the long run and significant effect in the short-run, implying a persistent co-movement with the stock market. Diagnostic tests confirm the reliability and stability of the model, supporting the conclusion that Bitcoin cannot substitute gold as a reliable safe haven, though it can serve as a speculative asset or diversifier.