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

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Alinović Z., Šestanović T., Škrabić Perić B.
Ekonomický časopis (Journal of Economics)
|
2022
|
vol. 70
|
issue 7-8
603 – 621
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.
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