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

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Barbu T. C., Boitan I. A., Cepoi C.-O.
Economics and Business Review
|
2022
|
vol. 8
|
issue 2
29-49
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.
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