The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies
By Shaen Corbet, C. Larkin, Brian M. Lucey. Finance Research Letters, 2020
815 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Information Systems
View Paper: https://www.semanticscholar.org/paper/480c28cdf4c66ccbcc8ced3f59063de9280eb85d
How researchers see this paper
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In Economics and Econometrics
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In Information Systems
Citations in the corpus
- Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020, neutral): “The ongoing Covid-19 pandemic and associated financial turbulence has led to a profusion of working papers, some examining cryptocurrency implications (Alfaro et al., 2020; Corbet et al., 2020a; 2020b; Jabotinsky and Sarel, 2020; Jana and Das, 2020).”
- The nexus between COVID-19 fear and stock market volatility (2021, neutral): “Several studies have tested co-movement within international stock markets (Corbet et al., 2020; Straif-Bourgeois & Robinson, 2020; Zaremba et al., 2020), revealing significant effects on international stock returns, volatility, portfolio diversification, and inter-temporal stability (Mirza et al.,…”
- The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, neutral): “While hedging and safe haven properties of cryptocurrencies remains a dominant theme of the early COVID-19 literature in finance (e.g., Corbet et al., 2020a, Conlon and McGee, 2020), substantial empirical evidence has also been collected to suggest financial contagion and spillover effect between…”
- Can corporate social responsibility protect firm value during the COVID-19 pandemic? (2020, background): “For instance, strong volatility and contagion effects were observed in capital markets of China, the epicenter of the pandemic, at the beginning of the global outbreak (Corbet et al., 2020).”
- Household Financial Decision Making Amidst the COVID-19 Pandemic (2020, background): “Accordingly, Haroon and Rizvi (2020) and Corbet et al. (2020) focus on a different aspect of the pandemic by studying its psychological effects.”