PANDEMIC. A NON-LINEAR ANALYSIS

Cosmin Trifu, Florin Blaga and Georgian Danut Mihai
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Cosmin Trifu: Bucharest University of Economic Studies, Doctoral School of Finance, Romania
Florin Blaga: Bucharest University of Economic Studies, Doctoral School of Finance, Romania
Georgian Danut Mihai: Bucharest University of Economic Studies, Doctoral School of Finance, Romania

Journal of Financial and Monetary Economics, 2022, vol. 10, issue 1, 184-189

Abstract: In this paper we investigate the impact of Bitcoin, Gold and S&P Index on BET index in order to test the Safe Havens hypothesis during COVID-19 Pandemic. Using daily data covering 2019-2021 period we find that BET index returns is sensitive to S&P Index returns regardless the information’s surrounding the USA economy and the political environment. Furthermore, the Gold return exhibit a positive impact on BET Index Return indicating that the higher the return of Gold, the higher the profit of traders investing on BET Index. Finally, we find strong empirical evidences indicating that BITCOIN, Gold and S&P are not safe havens relative to BET Index.

Keywords: Bitcoin; Gold; quantile regression; threshold regression (search for similar items in EconPapers)
JEL-codes: E62 H21 O23 (search for similar items in EconPapers)
Date: 2022
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