COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

【Author】 Vukovic, Darko; Maiti, Moinak; Grubisic, Zoran; Grigorieva, Elena M.; Froemmel, Michael

【Source】SUSTAINABILITY

【影响因子】3.889

【Abstract】The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

【Keywords】cryptocurrency; COVID-19; safe haven; quantile regression; tether

【发表时间】2021 AUG

【收录时间】2022-01-02

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