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Article
Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis
Emerging Markets Finance and Trade
  • Ghulame Rubbaniy, Zayed University
  • Ali Awais Khalid, University of Lahore
  • Aristeidis Samitas, University of Lahore
Document Type
Article
Publication Date
1-1-2021
Abstract

This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings 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 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 Covid-19 pandemic.

Disciplines
Keywords
  • cryptocurrency,
  • G11,
  • G15,
  • global Covid-19 fear index,
  • Q31,
  • Safe-haven,
  • VCRIX,
  • Wavelet coherence
Scopus ID
85105920159
Indexed in Scopus
Yes
Open Access
No
https://doi.org/10.1080/1540496X.2021.1897004
Citation Information
Ghulame Rubbaniy, Ali Awais Khalid and Aristeidis Samitas. "Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis" Emerging Markets Finance and Trade Vol. 57 Iss. 6 (2021) p. 1741 - 1756 ISSN: <a href="https://v2.sherpa.ac.uk/id/publication/issn/1540-496X" target="_blank">1540-496X</a>
Available at: http://works.bepress.com/ghulame-rubbaniy/11/