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

Author First name, Last name, Institution

Ghulame Rubbaniy
Ali Awais Cheema
Aristeidis Samitas

Document Type

Article

Source of Publication

SSRN Electronic Journal

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

ISSN

1556-5068

Publisher

Elsevier BV

Disciplines

Business

Keywords

Wavelet Coherence, Global COVID-19 fear index, Cryptocurrency, VCRIX, Safe-haven

Scopus ID

85105920159

Recommended Citation

Rubbaniy, Ghulame; Cheema, Ali Awais; and Samitas, Aristeidis, "Are Cryptos Safe-Haven Assets during COVID-19? Evidence from Wavelet Coherence Analysis" (2020). All Works. 545.
https://zuscholars.zu.ac.ae/works/545

Indexed in Scopus

yes

Open Access

no