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

By Christy Dwita Mariana, Irwan Adi Ekaputra, Z. Husodo. Finance Research Letters, 2020

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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.

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

View Paper: https://www.semanticscholar.org/paper/1fdd64b25170acc8ca91342ec884aa4b0f8622c5