Title

Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis

Document Type

Article

Source of Publication

Emerging Markets Finance and Trade

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.

ISSN

1540-496X

Volume

57

Issue

6

First Page

1741

Last Page

1756

Disciplines

Business

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

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