Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis

【Author】 Rubbaniy, Ghulame; Khalid, Ali Awais; Samitas, Aristeidis

【Source】EMERGING MARKETS FINANCE AND TRADE

【影响因子】4.859

【Abstract】This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that represents fear of households and retail investors reveals cryptocurrencies as safe-haven assets; however, a financial market-based proxy of market turbulence exposes that cryptocurrencies behave like traditional assets during the times of Covid-19 pandemic. Our findings support that long-term investors can invest in the cryptocurrency market to hedge the risks during Covid-19 pandemic.

【Keywords】Wavelet coherence; global Covid-19 fear index; cryptocurrency; VCRIX; Safe-haven

【发表时间】2021 2022-05-03

【收录时间】2022-01-02

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