COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies

Khaled Mokni (), Manel Youssef and Ahdi Noomen Ajmi

Research in International Business and Finance, 2022, vol. 60, issue C

Abstract: This study examines the role of the top-5 cryptocurrencies and gold as a hedge and safe haven against the economic policy uncertainty (EPU) before and during the ongoing COVID–19 crisis. We use the GARCH model for the main analysis and a safe haven index (SHI) for robustness. Our findings show that gold and cryptocurrencies cannot act as a strong hedge or safe haven against EPU before and during the COVID-19 pandemic. However, we find that the SHI exhibits negative returns and increased volatility during the COVID-19 and confirms that cryptocurrencies generally act as weak safe haven. Gold is classified as a weak safe haven asset during the whole period and more likely as a safe asset before the health crisis but loses its safe haven property during the COVID-19 crisis. Our findings provide useful information for investors interested in the cryptocurrency market and safe haven assets when building assets portfolios.

Keywords: COVID-19; Bitcoin; Economic policy uncertainty; Hedging; Safe haven (search for similar items in EconPapers)
JEL-codes: C10 C22 D53 G11 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:60:y:2022:i:c:s027553192100194x

DOI: 10.1016/j.ribaf.2021.101573

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