With rise of value and popularity, bitcoin attracted many investors who began to consider it as a tool for portfolio diversification. In this research we are studying correlation between bitcoin and other asset classes, such as gold, stocks and real estate. While price of gold is unique, two indexes were chosen to represent stock and real estate markets. Our research includes one index for USA market and other for Chinese market. Furthermore, those values were analysed in SPSS programme and Pearson correlation was calculated. Our results showed that bitcoin has had strongest correlation with stock market which was expected due to similarity of secondary markets. Correlation for both USA and China market is strong and positive. Relation with gold is weak and negative which suggests that bitcoin is not safe haven, although this may be because gold price reached the peak just before appearance of bitcoin. Mixed results are presented in real estate market. Correlation with both indexes were positive, although bitcoin and real estate differ highly considering market efficiency, asimetrical information and transaction cost. Correlation of bitcoin with USA market is much stronger in comparison with Chinese market witch may be due different demographic structure of mentioned countries. Consequently, there should be further research conducted to clarify this relationship. Finally, in this research we also reviewed impact of business cycles on asset classes and bitcoin but the examined period of time was too short to give us any conclusion although semistrong positive correlation with BDP in OECD countries may suggest procyclic behaviour of bitcoin in future