Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market

【Author】 Nasreen, Samia; Tiwari, Aviral Kumar; Yoon, Seong-Min

【Source】SUSTAINABILITY

【影响因子】3.889

【Abstract】This paper examines interlinkages and hedging opportunities between nine major cryptocurrencies from 30 September 2015 to 4 June 2020, a period which notably includes the COVID-19 outbreak lasting from early 2020 to the end of the sample period. Estimated time-varying correlation coefficients that are based on a TVP-VAR show a high degree of interconnectedness among cryptocurrencies throughout the sample period. Notably, the correlations reach their joint minimum during the COVID-19 pandemic indicating that cryptocurrencies acted as a hedge or safe haven during the stressful period of the COVID-19 pandemic. The cryptocurrency weights of the minimum connectedness portfolio were significantly reduced and their hedging effectiveness varied greatly during the pandemic, implying that investors' preferences changed during the COVID-19 period.

【Keywords】cryptocurrency; COVID-19; TVP-VAR; minimum connectedness portfolio; hedging effectiveness

【发表时间】2021 JUL

【收录时间】2022-01-02

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