Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

【Author】 Wen, Fenghua; Tong, Xi; Ren, Xiaohang

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.

【Keywords】Gold; Bitcoin; Safe haven; COVID-19; TVP-VAR model; Impulse response

【发表时间】2022 MAY

【收录时间】2022-05-17

【文献类型】理论性文章

【主题类别】

区块链治理-市场治理-数字货币