A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis

【Author】 Aljinovic, Zdravka; Sestanovic, Tea; Peric, Blanka Skrabic

【Source】EKONOMICKY CASOPIS

【影响因子】0.544

【Abstract】The purpose of this paper is to reinvestigate the properties of cryptocurrencies in the COVID-19 crisis as well as their co-movements with different asset classes including different stock markets, bonds, real estate, gold and oil. To capture the change in correlation caused by crisis, we employ multivariate GARCH Dynamic Conditional Correlation model. The findings suggest that cryptocurrencies can be seen no more than a diversifier for most of the assets. For real estate and S&P500 it is confirmed to be a weak hedge, while positive and upward sloping dynamic conditional correlations with gold obtained in COVID-19 period needs to be further investigated.

【Keywords】COVID-19; cryptocurrencies; CRIX; MGARCH-DCC; conditional correlations

【发表时间】2022

【收录时间】2023-05-11

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析