Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?

Christy Dwita Mariana; Irwan Adi Ekaputra; Zaäfri Ananto Husodo

doi:10.1016/j.frl.2020.101798

Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?

Christy Dwita Mariana, Irwan Adi Ekaputra, Zaäfri Ananto Husodo

Department of Management

Research output: Contribution to journal › Article › peer-review

229 Citations (Scopus)

Abstract

Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively during the pandemic. The regression results also robustly support the safe-haven features and uncover that Ethereum is possibly a better safe-haven than Bitcoin. However, we note that both coins exhibit high volatilities. Before (during) the pandemic daily volatilities of Bitcoin, Ethereum, gold, and the S&P500 are 3.44% (9.11%), 4.34% (10.96%), 0.89% (2.19%), and 1.27% (6.07%), respectively.

Original language	English
Article number	101798
Journal	Finance Research Letters
Volume	38
DOIs	https://doi.org/10.1016/j.frl.2020.101798
Publication status	Published - Jan 2021

Keywords

Bitcoin
COVID-19
Ethereum
Pandemic
Safe-haven

Access to Document

10.1016/j.frl.2020.101798

Cite this

@article{411a76aff9df4a488686ac701b45029d,

title = "Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?",

abstract = "Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively during the pandemic. The regression results also robustly support the safe-haven features and uncover that Ethereum is possibly a better safe-haven than Bitcoin. However, we note that both coins exhibit high volatilities. Before (during) the pandemic daily volatilities of Bitcoin, Ethereum, gold, and the S&P500 are 3.44% (9.11%), 4.34% (10.96%), 0.89% (2.19%), and 1.27% (6.07%), respectively.",

keywords = "Bitcoin, COVID-19, Ethereum, Pandemic, Safe-haven",

author = "{Dwita Mariana}, Christy and Ekaputra, {Irwan Adi} and Husodo, {Za{\"a}fri Ananto}",

note = "Funding Information: We thank Universitas Indonesia that has partly funded this study with a research grant NKB-0812/UN2.R3.1/HKP.05.00/2019 . We are also very grateful to S. Ghon Rhee, the editor, and anonymous reviewers for their insightful comments to improve the manuscript. Publisher Copyright: {\textcopyright} 2020 Elsevier Ltd Copyright: Copyright 2020 Elsevier B.V., All rights reserved.",

year = "2021",

month = jan,

doi = "10.1016/j.frl.2020.101798",

language = "English",

volume = "38",

journal = "Finance Research Letters",