Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?

被引：195
|
作者：
Mariana, Christy Dwita [1 ,2 ]
Ekaputra, Irwan Adi [1 ]
Husodo, Zaafri Ananto [1 ]
机构：
[1] Univ Indonesia, Fac Econ & Business, Depok, Indonesia
[2] Univ Agung Podomoro, Jakarta, Indonesia
来源：
FINANCE RESEARCH LETTERS | 2021年 / 38卷
关键词：
Bitcoin; COVID-19; Ethereum; Pandemic; Safe-haven;
D O I：
10.1016/j.frl.2020.101798
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
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收藏
页数：7
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