Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison
Natalia Diniz-Maganini,
Eduardo H. Diniz and
Abdul A. Rasheed
Research in International Business and Finance, 2021, vol. 58, issue C
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 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (16)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000933
DOI: 10.1016/j.ribaf.2021.101472
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