Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?

Christy Dwita Mariana, Irwan Ekaputra and Zaäfri Ananto Husodo

Finance Research Letters, 2021, vol. 38, issue C

Abstract: Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively during the pandemic. The regression results also robustly support the safe-haven features and uncover that Ethereum is possibly a better safe-haven than Bitcoin. However, we note that both coins exhibit high volatilities. Before (during) the pandemic daily volatilities of Bitcoin, Ethereum, gold, and the S&P500 are 3.44% (9.11%), 4.34% (10.96%), 0.89% (2.19%), and 1.27% (6.07%), respectively.

Keywords: Bitcoin; COVID-19; Ethereum; Pandemic; Safe-haven (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (91)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316123

DOI: 10.1016/j.frl.2020.101798

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