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The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies

At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a “flight to safety” were present during the period analysed. The volatility relat...

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Detalles Bibliográficos
Autores principales: Corbet, Shaen, Larkin, Charles, Lucey, Brian
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier Inc. 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7224668/
http://dx.doi.org/10.1016/j.frl.2020.101554
Descripción
Sumario:At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a “flight to safety” were present during the period analysed. The volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous financial stress. We provide a number of observations as to why this situation occurred. Such dynamic correlations during periods of stress present further evidence to cautiously support the validity of the development of this new financial product within mainstream portfolio design through the diversification benefits provided.