Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks
Keywords:Bitcoin, Ether, COVID-19, stock market index, sustainable indices, bond yield, threshold regression
AbstractThe 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.
How to Cite
Copyright (c) 2022 Poznań University of Economics and Business
This work is licensed under a Creative Commons Attribution 4.0 International License.