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

Zdravka Aljinoviæ (), Tea Šestanoviæ and Blanka Škrabiæ Periæ
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Zdravka Aljinoviæ: University of Split, Faculty of Economics Business and Tourism, Department of Quantitative Methods
Tea Šestanoviæ: University of Split, Faculty of Economics Business and Tourism, Department of Quantitative Methods
Blanka Škrabiæ Periæ: University of Split, Faculty of Economics Business and Tourism, Department of Quantitative Methods
Authors registered in the RePEc Author Service: Blanka Skrabic Peric

Journal of Economics / Ekonomicky casopis, 2022, vol. 70, issue 7-8, 603-621

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 (search for similar items in EconPapers)
JEL-codes: C13 C58 G11 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:sav:journl:v:70:y:2022:i:7-8:p:603-621

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