Bitcoin as a Safe Haven during COVID-19 Disease

被引：0
|
作者：
Cocco, Luisanna [1 ]
Tonelli, Roberto [1 ]
Marchesi, Michele [1 ]
机构：
[1] Univ Cagliari, Dept Math & Comp Sci, I-09123 Cagliari, Italy
来源：
FUTURE INTERNET | 2022年 / 14卷 / 04期
关键词：
safe haven; bitcoin; ether; regression model; COVID-19; economic crisis; HEDGE; DIVERSIFIER; GOLD;
D O I：
10.3390/fil4040098
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we investigate the role of Bitcoin as a safe haven against the stock market losses during the spread of COVID-19. The performed analysis was based on a regression model with dummy variables defined around some crucial dates of the pandemic and on the dynamic conditional correlations. To try to model the real dynamics of the markets, we studied the safe-haven properties of Bitcoin against thirteen of the major stock market indexes losses using daily data spanning from 1 July 2019 until 20 February 2021. A similar analysis was also performed for Ether. Results show that this pandemic impacts on the Bitcoin status as safe haven, but we are still far from being able to define Bitcoin as a safe haven.
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页数：24
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