Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

•Investigate the safe haven properties of Bitcoin during the Covid-19 bear market.•Bitcoin is not found to be a safe haven.•Bitcoin decreases in price in lockstep with the S&P 500 during the bear market.•A small allocation to Bitcoin substantially increases portfolio downside risk.•Results cast doubt on the ability of Bitcoin to shelter investors from market turbulence. The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this paper, we show that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops. When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk. Our empirical findings cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.