NEW EVIDENCE OF THE RELATIONSHIP BETWEEN CRYPTOCURRENCIES AND OTHER ASSETS FROM THE COVID-19 CRISIS

• Authors: Alinović Zdravka , Šestanović Tea , Škrabić Perić Blanka
• Languages of publication: EN

Abstracts

EN

The purpose of this paper is to reinvestigate the properties of cryptocurrencies in the COVID-19 crisis as well as their co-movements with different asset classes including different stock markets, bonds, real estate, gold and oil. To capture the change in correlation caused by crisis, we employ multivariate GARCH Dynamic Conditional Correlation model. The findings suggest that cryptocurrencies can be seen no more than a diversifier for most of the assets. For real estate and S&P500 it is confirmed to be a weak hedge, while positive and upward sloping dynamic conditional correlations with gold obtained in COVID-19 period needs to be further investigated.

Keywords

EN

COVID-19; CRYPTOCURRENCIES; MGARCH-DCC; CONDITIONAL CORRELATIONS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2022
• Volume: 70
• Issue: 7-8
• Pages: 603 – 621

Contributors

author

Alinović Zdravka

• University of Split, Faculty of Economics Business and Tourism, Cvite Fiskovića 5, 21000 Split, Croatia

• https://orcid.org/0000-0002-9133-0149

author

Šestanović Tea

• https://orcid.org/0000-0002-6279-6070

author

Škrabić Perić Blanka

• https://orcid.org/0000-0002-7448-3821

Identifiers

DOI

https://doi.org/10.31577/ekoncas.2022.07-8.03