Bitcoin's price efficiency and safe haven properties during the COVID-19 pandemic: A comparison

【Author】 Diniz-Maganini, Natalia; Diniz, Eduardo H.; Rasheed, Abdul A.

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI World) during the four months after the World Health Organization officially designated COVID-19 as a global pandemic. Using intraday data, we find that Bitcoin prices were more efficient than the US dollar and MSCI World indices. Using a detrended partial-cross-correlation analysis, our results show that net cross-correlations vary across time scales. Our results suggest that when the time scale is greater than two months, gold can be considered as a safe haven for investors holding the MSCI World and US dollar indices and when the time scale exceeds three months, Bitcoin can be considered a safe haven for the MSCI World index.

【Keywords】Market efficiency; Safe haven; Intraday data; Bitcoin; COVID-19

【发表时间】2021 DEC

【收录时间】2022-01-01

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