Looking for a safe haven against American stocks during COVID-19 pandemic

Agata Kliber

The North American Journal of Economics and Finance, 2022, vol. 63, issue C

Abstract: This article aims to find the best safe-haven for stock investors in the American market since the COVID-19 pandemic outbreak. The research period covers March 2020–May 2022. Among the possible alternatives, we analyse the traditional ones: US bonds, gold, and silver, as well as the new ones: stable DeFi and CeFi coins, and most popular cryptocurrencies: Bitcoin and Ether. We study quantile coherency between S&P 500 and each asset and the respective conditional correlation. We show that the safe-haven properties of the assets varied over time and that centralized stablecoins could have been used as safe-haven against American stocks during the pandemics.

Keywords: Safe haven; Quantile coherency; S&P 500; COVID-19; Stablecoins; DeFi coins; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: C58 G01 G11 G23 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001607

DOI: 10.1016/j.najef.2022.101825

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