Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks

Barbu Teodora Cristina (), Boitan Iustina Alina () and Cepoi Cosmin-Octavian ()
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Barbu Teodora Cristina: Faculty of Finance and Banking, Bucharest University of Economic Studies, Romania, Clădirea Mihail Moxa, Strada Mihail Moxa 5-7, București 010961, Romania
Boitan Iustina Alina: Faculty of Finance and Banking, Bucharest University of Economic Studies, Clădirea Mihail Moxa, Strada Mihail Moxa 5-7, București 010961, Romania
Cepoi Cosmin-Octavian: “Victor Slăvescu” Centre for Financial and Monetary Research, Academia Română, Corp B, Calea 13 Septembrie 13, București 050731, Romania

Economics and Business Review, 2022, vol. 8, issue 2, 29-49

Abstract: The 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.

Keywords: Bitcoin; Ether; COVID-19; stock market index; sustainable indices; bond yield; threshold regression (search for similar items in EconPapers)
JEL-codes: G11 G13 G14 G15 G17 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ecobur:v:8:y:2022:i:2:p:29-49:n:3

DOI: 10.18559/ebr.2022.2.3

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