Are Cryptos Safe-Haven Assets during COVID-19? Evidence from Wavelet Coherence Analysis
Source of Publication
SSRN Electronic Journal
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.
Wavelet Coherence, Global COVID-19 fear index, Cryptocurrency, VCRIX, Safe-haven
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.
Indexed in Scopus