Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks
Teodora Cristina Barbu, Iustina Alina Boitan, Cosmin-Octavian Cepoi
2022Economics and Business Review/The Poznań University of Economics Review12 citationsDOIOpen Access PDF
Abstract
The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversifier features for stock and bond markets. Both cryptocurrencies fulfil a diversifier role for the responsible investments represented by sustainable stock market indices, a safe haven role for major bond markets and a mixed role for a selection of representative stock market indices. Furthermore, in times characterized by an increasing number of COVID-19 daily cases or deaths the statistical relationship between both cryptocurrencies and the main financial market determinants weakens.
Topics & Concepts
CryptocurrencySafe havenPandemicStock (firearms)Coronavirus disease 2019 (COVID-19)BondEconomicsFinancial economicsBusinessEconometricsComputer scienceFinanceInternal medicineMedicineGeographyComputer securityDiseaseInfectious disease (medical specialty)ArchaeologyBlockchain Technology Applications and SecurityCOVID-19 Pandemic ImpactsMarket Dynamics and Volatility