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

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 duri...

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Detalles Bibliográficos
Autores principales: Dwita Mariana, Christy, Ekaputra, Irwan Adi, Husodo, Zaäfri Ananto
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7566681/
https://www.ncbi.nlm.nih.gov/pubmed/33100925
http://dx.doi.org/10.1016/j.frl.2020.101798
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author Dwita Mariana, Christy
Ekaputra, Irwan Adi
Husodo, Zaäfri Ananto
author_facet Dwita Mariana, Christy
Ekaputra, Irwan Adi
Husodo, Zaäfri Ananto
author_sort Dwita Mariana, Christy
collection PubMed
description 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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spelling pubmed-75666812020-10-19 Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? Dwita Mariana, Christy Ekaputra, Irwan Adi Husodo, Zaäfri Ananto Financ Res Lett Article 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. Elsevier Inc. 2021-01 2020-10-16 /pmc/articles/PMC7566681/ /pubmed/33100925 http://dx.doi.org/10.1016/j.frl.2020.101798 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Dwita Mariana, Christy
Ekaputra, Irwan Adi
Husodo, Zaäfri Ananto
Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
title Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
title_full Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
title_fullStr Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
title_full_unstemmed Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
title_short Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?
title_sort are bitcoin and ethereum safe-havens for stocks during the covid-19 pandemic?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7566681/
https://www.ncbi.nlm.nih.gov/pubmed/33100925
http://dx.doi.org/10.1016/j.frl.2020.101798
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