Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks

【Author】 Barbu, Teodora Cristina; Boitan, Iustina Alina; Cepoi, Cosmin-Octavian

【Source】ECONOMICS AND BUSINESS REVIEW

【影响因子】0.000

【Abstract】The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversifier features for stock and bond markets. Both cryptocurrencies fulfil a diversifier role for the responsible investments represented by sustainable stock market indices, a safe haven role for major bond markets and a mixed role for a selection of representative stock market indices. Furthermore, in times characterized by an increasing number of COVID-19 daily cases or deaths the statistical relationship between both cryptocurrencies and the main financial market determinants weakens.

【Keywords】Bitcoin; Ether; COVID-19; stock market index; sustainable indices; bond yield; threshold regression

【发表时间】2022 44743

【收录时间】2022-08-02

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