A Safe-haven Property of Cryptocurrencies: Evidence in Vietnam Stock Market During Pandemic Crisis

【Author】 Nam Sy Ngo; Huyen Thi Mai Nguyen

【Source】JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS

【影响因子】0.000

【Abstract】The study investigates the dynamic correlation of cryptocurrencies and equity in Vietnam and tests the safe-haven property of them from the perspective of the stock market in Vietnam during the pandemic crisis by applying the dynamic conditional correlation (DCC) GARCH model and regression with a dummy variable, respectively. This study employs time series data on the daily dataset from September 2014 to September 2021 with the focus on the two most popular cryptocurrencies - Bitcoin and Litecoin. The results show that the dynamic conditional correlations between cryptocurrencies and equity in Vietnam increased during the pandemic, however, in most periods, positive dynamic correlations often dominate. Besides, the regression results also indicate that Bitcoin and Litecoin act as weak safe-haven investments for stocks in Vietnam during the COVID-19 turmoil. They are more suitable for diversification purposes although the dynamic correlations between them and the stock index in Vietnam vary stronger during the pandemic crisis than before. The findings of this study suggest that in the period of pandemic crisis, cryptocurrencies are not concerned as effective safe-haven assets for stock in Vietnam. Instead, cryptocurrencies are only playing a potential role in diversification benefit in this economy.

【Keywords】Cryptocurrency; Dynamic Conditional Correlation; Pandemic Crisis; Safe-Haven

【发表时间】2021 DEC

【收录时间】2022-02-26

【文献类型】期刊

【主题类别】

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