COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Darko Vuković (), Moinak Maiti, Zoran Grubisic, Elena M. Grigorieva and Michael Frömmel
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Zoran Grubisic: Belgrade Banking Academy, Faculty for Banking, Insurance and Finance, Zmaj Jovina 12, 11000 Belgrade, Serbia
Elena M. Grigorieva: International Laboratory for Finance and Financial Markets Finance, Faculty of Economics, People’s Friendship University of Russia (RUDN University), Miklukho-Maklaya Str.6, 117198 Moscow, Russia

Sustainability, 2021, vol. 13, issue 15, 1-17

Abstract: The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

Keywords: cryptocurrency; COVID-19; safe haven; quantile regression; tether (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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