Are stablecoins better safe havens or hedges against global stock markets than other assets? Comparative analysis during the COVID-19 pandemic

被引：0

作者：

Feng, Jingyu ^{[1
]}

Yuan, Ying ^{[1
,2
,3
]}

Jiang, Mingxuan ^{[4
]}

机构：

[1] Northeastern Univ, Sch Business Adm, Shenyang 110169, Peoples R China

[2] Northeastern Univ, Natl Frontiers Sci Ctr Ind Intelligence & Syst Opt, Shenyang 110819, Peoples R China

[3] Northeastern Univ, Key Lab Data Analyt & Optimizat Smart Ind, Minist Educ, Shenyang, Peoples R China

[4] Northeastern Univ, Sch Software, Shenyang 110169, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2024年 / 92卷

关键词：

Stablecoins; Cryptocurrency; Pegging mechanism; Safe haven; Hedge; GOLD; BITCOIN; RISK; US; DOLLAR; HETEROSKEDASTICITY; INVESTMENT;

D O I：

10.1016/j.iref.2024.02.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines whether stablecoins act as diversifiers, hedges or safe havens against global stock markets during the COVID-19 pandemic, leveraging the DCC-GARCH model and dummy variable regression. In addition, we examine the dynamics of stablecoins' safe haven ability during the COVID-19 pandemic and diverse stages of the COVID-19 pandemic's development, and compare it with two traditional safe havens (gold and USD), as well as Bitcoin. Our findings reveal that both gold-pegged and USD-pegged stablecoins show a stronger hedging ability against global stock markets. In particular, USD-pegged stablecoins can be considered stable hedges and safe havens, especially during the different stages of the COVID-19 pandemic's development. Conversely, Bitcoin and traditional safe havens do not consistently provide stable hedge or safe haven properties.

引用

页码：275 / 301

页数：27

共 50 条

[31] The Analysis of the Roles of Bitcoin, Ethereum, and Gold as Hedge and Safe-Haven Assets on the Indonesian Stock Market before and during the COVID-19 Pandemic
Wijaya, Carla A.
Ulpah, Maria
[J]. INDONESIAN CAPITAL MARKET REVIEW, 2022, 14 (01) : 51 - 62
[32] Feverish sentiment and global equity markets during the COVID-19 pandemic
Toan Luu Duc Huynh
Foglia, Matteo
Nasir, Muhammad Ali
Angelini, Eliana
[J]. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2021, 188 : 1088 - 1108
[33] Does the COVID-19 pandemic strengthen the volatility spillovers across global stock markets?
Zhou, Yuqin
Wu, Shan
Liu, Zhenhua
[J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2024, 11 (02)
[34] Impact of COVID-19 pandemic on the dependence structure and risk spillovers in global stock markets
Zhao, Mingguo
Park, Hail
[J]. INTERNATIONAL FINANCE, 2024,
[35] Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world
Rouatbi, Wael
Demir, Ender
Kizys, Renatas
Zaremba, Adam
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 77
[36] The risk transmission from the COVID-19 to MENA stock markets: what is the best safe haven asset during the pandemic?
Chkili, Walid
[J]. EUROMED JOURNAL OF BUSINESS, 2024,
[37] Analysis of the impact of COVID-19 pandemic on G20 stock markets
Li, Yanshuang
Zhuang, Xintian
Wang, Jian
Dong, Zibing
[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 58
[38] The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices
Khan, Karamat
Zhao, Huawei
Zhang, Han
Yang, Huilin
Haroon, Muhammad
Jahanger, Atif
[J]. JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2020, 7 (07): : 463 - 474
[39] Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic
Alkhatib, Khalid
Almahmood, Mothanna
Elayan, Omar
Abualigah, Laith
[J]. INTERNATIONAL JOURNAL OF SYSTEM ASSURANCE ENGINEERING AND MANAGEMENT, 2022, 13 (03) : 1298 - 1308
[40] Regional analytics and forecasting for most affected stock markets: The case of GCC stock markets during COVID-19 pandemic
Khalid Alkhatib
Mothanna Almahmood
Omar Elayan
Laith Abualigah
[J]. International Journal of System Assurance Engineering and Management, 2022, 13 : 1298 - 1308

← 1 2 3 4 5 →