Safe haven or risky hazard? Bitcoin during the Covid-19 bear market

By Thomas Conlon, Richard J. McGee. Finance Research Letters, 2020

743 citations recorded by the source corpus.

The Covid-19 bear market presents the first acute market losses since active trading of Bitcoin began. This market downturn provides a timely test of the frequently expounded safe haven properties of Bitcoin. In this paper, we show that Bitcoin does not act as a safe haven, instead decreasing in price in lockstep with the S&P 500 as the crisis develops. When held alongside the S&P 500, even a small allocation to Bitcoin substantially increases portfolio downside risk. Our empirical findings cast doubt on the ability of Bitcoin to provide shelter from turbulence in traditional markets.

Subfields: Economics and Econometrics, Information Systems, Sociology and Political Science

View Paper: https://www.semanticscholar.org/paper/00705f0a6859c6fa0821f6782968469e9bb602bc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Shaen Corbet
2. Brian M. Lucey
3. L. Yarovaya
4. C. Larkin
5. A. Jalan
6. R. Matkovskyy
7. Andrew Urquhart
8. Paraskevi Katsiampa

In Information Systems

1. Shaen Corbet
2. Brian M. Lucey
3. L. Yarovaya
4. C. Larkin
5. A. Jalan
6. R. Matkovskyy
7. Paraskevi Katsiampa
8. Andrew Urquhart

In Sociology and Political Science

1. Shaen Corbet
2. Brian M. Lucey
3. A. Jalan
4. R. Matkovskyy
5. L. Yarovaya
6. Paraskevi Katsiampa
7. Andrew Urquhart

Citations in the corpus

• The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020, background): “The evidence here, and in papers such as Conlon and McGee [2020] indicates that in times of serious financial and economic disruption these assets do not act as hedges, or safe havens, but perhaps rather as amplifiers of contagion.”
• Financial contagion during COVID–19 crisis (2020, neutral): “Journal of International Financial Markets, Institutions and Money, 31(July), 378-396. Antonakakis, N., Cunado, J., Filis, G., Gabauer, D., & De Gracia, F. P. (2018). Oil volatility, oil and gas firms and portfolio diversification.”
• COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020, neutral): “Flights to safety behaviour on financial markets during the COVID-19 crisis have been analysed by Conlon and McGee (2020), as well as Corbet, Larkin, and Lucey (2020) in relationship to gold and cryptocurrencies, providing consistent evidence that Bitcoin does not offer hedging nor safe haven…”
• The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, positive): “…assets have not yet demonstrated their safe haven properties during any major economic crisis and recession, and early evidence suggests that Bitcoin failed to display hedging opportunities and flight to safety properties during the COVID-19 pandemic (Conlon and McGee, 2020; Corbet et al., 2020d).”