Article
Are Cryptos Safe-Haven Assets during COVID-19? Evidence from Wavelet Coherence Analysis
SSRN Electronic Journal
Document Type
Article
Publication Date
1-1-2020
Abstract
We use wavelet coherence analysis on global COVID-19 fear index, cryptocurrency market specific implied volatility index (VCRIX) and cryptocurrency returns to investigate safe-haven properties of cryptocurrencies during COVID-19 pandemic. The findings of our paper show that a non-financial market-based proxy of market stress that represents fear of households and retail investors reveals cryptocurrencies as safe-haven assets; however, a financial market-based proxy of the market turbulence exposes that cryptocurrencies behave like traditional assets during the times of COVID-19 pandemic. Our findings support that long-term investors can invest in the cryptocurrency market to hedge the risks during the COVID-19 pandemic.
DOI Link
10.2139/ssrn.3740576
Publisher
Elsevier BV
Disciplines
Keywords
- Wavelet Coherence,
- Global COVID-19 fear index,
- Cryptocurrency,
- VCRIX,
- Safe-haven
Scopus ID
85105920159
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.2139/ssrn.3740576
Citation Information
Ghulame Rubbaniy, Ali Awais Cheema and Aristeidis Samitas. "Are Cryptos Safe-Haven Assets during COVID-19? Evidence from Wavelet Coherence Analysis" SSRN Electronic Journal (2020) ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/1556-5068" target="_blank">1556-5068</a> Available at: http://works.bepress.com/aristeidis-samitas/13/