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- handle: 10670/1.qqfs1t
- halshs: halshs-02876529
- doi: 10.1016/j.irfa.2021.101781
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.irfa.2021.101781
info:eu-repo/semantics/OpenAccess
Mots-clés
Co-movement COVID-19 Bitcoin Wavelet Safe haven JEL classification: C58 F - International Economics/F.F3 - International Finance/F.F3.F37 - International Finance Forecasting and Simulation: Models and Applications G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider Trading G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q3 - Nonrenewable Resources and Conservation Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q3 - Nonrenewable Resources and Conservation/Q.Q3.Q31 - Demand and Supply • PricesCiter ce document
John W Goodell et al., « Diversifying with cryptocurrencies during COVID-19 », HAL-SHS : économie et finance, ID : 10.1016/j.irfa.2021.101781
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Résumé
Literature suggests assets become more correlated during economic downturns. The current COVID-19 crisis provides an unprecedented opportunity to investigate this considerably further. Further, whether cryptocur-rencies provide a diversification for equities is still an unsettled issue. Additionally , the question of whether cryptocurrency futures are safe havens has received very little attention. We employ several econometric procedures , including wavelet coherence, copula principal component, and neural network analyses to rigorously examine the role of COVID-19 on the paired co-movements of six cryptocurrencies, as well as bitcoin futures, with fourteen equity indices and the VIX. We find co-movements between cryptocurrencies and equity indices gradually increased as COVID-19 progressed. However, most of these co-movements are positively correlated, suggesting that cryptocurrencies do not provide a diversification benefit during downturns. Exceptions, however, are the co-movements of bitcoin futures and tether being negative with equities. Results are consistent with investment vehicles that attract either more informed or more speculative investors differentiating themselves as safe havens.