Tracking safe haven properties of cryptocurrencies during the COVID-19 pandemic: A smooth transition approach

【Author】 Melki, Abir; Nefzi, Nourhaine

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The study aims to examine the hedge and safe-haven properties of three heavyweight cryptocurrencies-Bitcoin, Ripple, and Ethereum-against the stock, commodity, and foreign exchange markets. The study sample covers the period of August 2011 to September 2020 and therefore includes the current coronavirus disease-2019 (COVID-19) crisis. Using a logistic smooth transition regression model (LSTR2), the study findings indicate the ability of monitored cryptocurrencies to act as safe-haven assets, but such behavior differs across markets. Interestingly, during the pandemic period, Ethereum provides the strongest safe haven function for the commodity market. According to our findings, we are mindful of that the COVID-19 outbreak provides an exciting opportunity to advance our knowledge of the prominence of new coins such as Ethereum that are gradually gaining supremacy in the cryptocurrency market to the detriment of traditional cryptocurrencies like Bitcoin.

【Keywords】Cryptocurrencies; COVID-19 pandemic; Safe-haven; Logistic Smooth Transition Regression model; Financial markets

【发表时间】2022 MAY

【收录时间】2022-07-30

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币