Article ; Online: Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
Finance research letters
2020 Volume 38, Page(s) 101798
Abstract: Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to ... ...
| Abstract | Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively during the pandemic. The regression results also robustly support the safe-haven features and uncover that Ethereum is possibly a better safe-haven than Bitcoin. However, we note that both coins exhibit high volatilities. Before (during) the pandemic daily volatilities of Bitcoin, Ethereum, gold, and the S&P500 are 3.44% (9.11%), 4.34% (10.96%), 0.89% (2.19%), and 1.27% (6.07%), respectively. |
|---|---|
| Keywords | covid19 |
| Language | English |
| Publishing date | 2020-10-16 |
| Publishing country | Netherlands |
| Document type | Journal Article |
| ISSN | 1544-6131 |
| ISSN (online) | 1544-6131 |
| DOI | 10.1016/j.frl.2020.101798 |
| Database | MEDical Literature Analysis and Retrieval System OnLINE |
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