Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks

• Authors: Teodora Cristina Barbu , Iustina Alina Boitan , Cosmin-Octavian Cepoi

Abstracts

EN

The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversiefir features for stock and bond markets. Both cryptocurrencies fulfil a diversiefir role for the responsible investments represented by sustainable stock market indices, a safe haven role for major bond markets and a mixed role for a selection of representative stock market indices. Furthermore, in times characterized by an increasing number of COVID-19 daily cases or deaths the statistical relationship between both cryptocurrencies and the main nfiancial market determinants weakens.

Keywords

EN

Bitcoin; Ether; COVID-19; stock market index; sustainable indices; bond yield; threshold regression

• Publisher: Uniwersytet Ekonomiczny w Poznaniu
• Journal: Economics and Business Review
• Year: 2022
• Volume: 8
• Issue: 2
• Pages: 29-49

Dates

published

2022

Contributors

author

Teodora Cristina Barbu

• Faculty of Finance and Banking, Bucharest University of Economic Studies, Clădirea Mihail Moxa, Romania

author

Iustina Alina Boitan

• Faculty of Finance and Banking, Bucharest University of Economic Studies, Clădirea Mihail Moxa, Romania

author

Cosmin-Octavian Cepoi

• “Victor Slăvescu” Centre for Financial and Monetary Research, Academia Română, Corp B, Romania

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Identifiers

DOI

10.18559/ebr.2022.2.3

Biblioteka Nauki

2058076