  During times of extreme market turmoil, it is acknowledged that there is a
tendency towards "flight to safety". A strong (weak) safe haven is defined as
an asset that has a significant positive (negative) return in periods where
another asset is in distress, while hedge has to be negatively correlated
(uncorrelated) on average. The Bitcoin's surge alongside the aftermath of
Trump's win in the 2016 U.S. presidential elections has strengthened its status
as the modern safe haven. This paper uses a truly noise-assisted data analysis
method, termed as Ensemble Empirical Mode Decomposition-based approach, to
examine whether Bitcoin can act as a hedge and safe haven for U.S. stock price
index. The results document that the Bitcoin's safe-haven property is
time-varying and that it has primarily been a weak safe haven in the short term
and the long-term. We also demonstrate that precious metals lost their safe
haven properties over time as the correlation between gold/silver and U.S.
stock price declines from short-to long-run horizons.
