IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v58y2021ics0275531921000933.html
   My bibliography  Save this article

Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison

Author

Listed:
  • Diniz-Maganini, Natalia
  • Diniz, Eduardo H.
  • Rasheed, Abdul A.

Abstract

As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI World) during the four months after the World Health Organization officially designated COVID-19 as a global pandemic. Using intraday data, we find that Bitcoin prices were more efficient than the US dollar and MSCI World indices. Using a detrended partial-cross-correlation analysis, our results show that net cross-correlations vary across time scales. Our results suggest that when the time scale is greater than two months, gold can be considered as a safe haven for investors holding the MSCI World and US dollar indices and when the time scale exceeds three months, Bitcoin can be considered a safe haven for the MSCI World index.

Suggested Citation

  • Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000933
    DOI: 10.1016/j.ribaf.2021.101472
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531921000933
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ribaf.2021.101472?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Reboredo, Juan C., 2013. "Is gold a safe haven or a hedge for the US dollar? Implications for risk management," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2665-2676.
    2. Choudhry, Taufiq & Hassan, Syed S. & Shabi, Sarosh, 2015. "Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 247-256.
    3. Guedes, E.F. & Ferreira, Paulo & Dionísio, Andreia & Zebende, G.F., 2019. "An econophysics approach to study the effect of BREXIT referendum on European Union stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1175-1182.
    4. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    5. Baur, Dirk G. & McDermott, Thomas K., 2010. "Is gold a safe haven? International evidence," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1886-1898, August.
    6. Mensi, Walid & Ur Rehman, Mobeen & Maitra, Debasish & Hamed Al-Yahyaee, Khamis & Sensoy, Ahmet, 2020. "Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach," Research in International Business and Finance, Elsevier, vol. 53(C).
    7. Salat, Hadrien & Murcio, Roberto & Arcaute, Elsa, 2017. "Multifractal methodology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 467-487.
    8. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    9. Maganini, Natália Diniz & Da Silva Filho, Antônio Carlos & Lima, Fabiano Guasti, 2018. "Investigation of multifractality in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 258-271.
    10. Aysan, Ahmet Faruk & Demir, Ender & Gozgor, Giray & Lau, Chi Keung Marco, 2019. "Effects of the geopolitical risks on Bitcoin returns and volatility," Research in International Business and Finance, Elsevier, vol. 47(C), pages 511-518.
    11. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    12. Lima, Cristiane Rocha Albuquerque & de Melo, Gabriel Rivas & Stosic, Borko & Stosic, Tatijana, 2019. "Cross-correlations between Brazilian biofuel and food market: Ethanol versus sugar," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 687-693.
    13. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    14. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
    15. Xiuwen Chen & Xiaolei Sun & Jianping Li, 2020. "How does economic policy uncertainty react to oil price shocks? A multi-scale perspective," Applied Economics Letters, Taylor & Francis Journals, vol. 27(3), pages 188-193, February.
    16. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
    17. He, Zhen & O'Connor, Fergal & Thijssen, Jacco, 2018. "Is gold a Sometime Safe Haven or an Always Hedge for equity investors? A Markov-Switching CAPM approach for US and UK stock indices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 30-37.
    18. Li, Xiang & Su, Dan, 2020. "How does economic policy uncertainty affect corporate debt maturity?," IWH Discussion Papers 6/2020, Halle Institute for Economic Research (IWH).
    19. repec:pri:cepsud:91malkiel is not listed on IDEAS
    20. Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.
    21. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    22. Schell, Daniel & Wang, Mei & Huynh, Toan Luu Duc, 2020. "This time is indeed different: A study on global market reactions to public health crisis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    23. Dwita Mariana, Christy & Ekaputra, Irwan Adi & Husodo, Zaäfri Ananto, 2021. "Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?," Finance Research Letters, Elsevier, vol. 38(C).
    24. Jin, Xiaoye, 2016. "The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach," Finance Research Letters, Elsevier, vol. 17(C), pages 167-175.
    25. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    26. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Yoon, Seong-Min, 2018. "Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets," Finance Research Letters, Elsevier, vol. 27(C), pages 228-234.
    27. Urquhart, Andrew & Zhang, Hanxiong, 2019. "Is Bitcoin a hedge or safe haven for currencies? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 49-57.
    28. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    29. Smales, L.A., 2019. "Bitcoin as a safe haven: Is it even worth considering?," Finance Research Letters, Elsevier, vol. 30(C), pages 385-393.
    30. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
    31. Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei, 2020. "How does economic policy uncertainty affect the bitcoin market?," Research in International Business and Finance, Elsevier, vol. 53(C).
    32. Iqbal, Najaf & Fareed, Zeeshan & Wan, Guangcai & Shahzad, Farrukh, 2021. "Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 73(C).
    33. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
    34. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    35. Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
    36. Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
    37. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009. "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 271-276, December.
    38. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2021. "Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    39. Goodell, John W. & Goutte, Stephane, 2021. "Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 38(C).
    40. Bredin, Don & Conlon, Thomas & Potì, Valerio, 2015. "Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 320-328.
    41. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
    42. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    43. Stavroyiannis, S. & Makris, I. & Nikolaidis, V., 2010. "Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 19-24, January.
    44. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
    45. Chen, Yingyuan & Cai, Lihui & Wang, Ruofan & Song, Zhenxi & Deng, Bin & Wang, Jiang & Yu, Haitao, 2018. "DCCA cross-correlation coefficients reveals the change of both synchronization and oscillation in EEG of Alzheimer disease patients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 171-184.
    46. Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019. "Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach," Finance Research Letters, Elsevier, vol. 28(C), pages 398-411.
    47. Corbet, Shaen & Larkin, Charles & Lucey, Brian, 2020. "The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies," Finance Research Letters, Elsevier, vol. 35(C).
    48. Goodell, John W., 2020. "COVID-19 and finance: Agendas for future research," Finance Research Letters, Elsevier, vol. 35(C).
    49. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2020. "Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 54(C).
    50. Cepoi, Cosmin-Octavian, 2020. "Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil," Finance Research Letters, Elsevier, vol. 36(C).
    51. Kliber, Agata & Marszałek, Paweł & Musiałkowska, Ida & Świerczyńska, Katarzyna, 2019. "Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — A stochastic volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 246-257.
    52. Goodell, John W. & Goutte, Stephane, 2021. "Diversifying equity with cryptocurrencies during COVID-19," International Review of Financial Analysis, Elsevier, vol. 76(C).
    53. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010. "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 237-241, September.
    54. Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
    55. Conghui Chen & Lanlan Liu & Ningru Zhao, 2020. "Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(10), pages 2298-2309, August.
    56. Thomas Conlon & Brian M. Lucey & Gazi Salah Uddin, 2018. "Is gold a hedge against inflation? A wavelet time-scale perspective," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 317-345, August.
    57. Ji, Qiang & Zhang, Dayong & Zhao, Yuqian, 2020. "Searching for safe-haven assets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 71(C).
    58. Shahzad, Syed Jawad Hussain & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2019. "Is Bitcoin a better safe-haven investment than gold and commodities?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 322-330.
    59. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Larkin, Charles & Oxley, Les, 2020. "Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic," Economics Letters, Elsevier, vol. 194(C).
    60. Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
    61. Dutta, Anupam & Das, Debojyoti & Jana, R.K. & Vo, Xuan Vinh, 2020. "COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin," Resources Policy, Elsevier, vol. 69(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
    2. Bales, Stephan & Burghartz, Kaspar & Burghof, Hans-Peter & Hitz, Lukas, 2023. "Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Ayhan Kuloğlu, 2021. "Covıd-19 Krizinin Petrol Fiyatları Üzerine Etkisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 710-727.
    4. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
    5. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2022. "Can Twitter-based economic uncertainty predict safe-haven assets under all market conditions and investment horizons?," Technological Forecasting and Social Change, Elsevier, vol. 185(C).
    6. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Alam, Masud & Abedin, Mohammad Zoynul & Shi, Baofeng, 2023. "NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
    7. Skwarek Mateusz, 2023. "Is Bitcoin an emerging market? A market efficiency perspective," Central European Economic Journal, Sciendo, vol. 10(57), pages 219-236, January.
    8. Kuan-Min Wang & Yuan-Ming Lee, 2023. "Are life insurance futures a safe haven during COVID-19?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    9. Kakinaka, Shinji & Umeno, Ken, 2022. "Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales," Research in International Business and Finance, Elsevier, vol. 62(C).
    10. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "The differential influence of social media sentiment on cryptocurrency returns and volatility during COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 307-317.
    11. Ding, Shusheng & Cui, Tianxiang & Wu, Xiangling & Du, Min, 2022. "Supply chain management based on volatility clustering: The effect of CBDC volatility," Research in International Business and Finance, Elsevier, vol. 62(C).
    12. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.
    13. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Guo, Xiaochun & Lu, Fengbin & Wei, Yunjie, 2021. "Capture the contagion network of bitcoin – Evidence from pre and mid COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2023. "Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    3. Disli, Mustafa & Nagayev, Ruslan & Salim, Kinan & Rizkiah, Siti K. & Aysan, Ahmet F., 2021. "In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Mokni, Khaled & Youssef, Manel & Ajmi, Ahdi Noomen, 2022. "COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 60(C).
    5. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2021. "Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    6. Syuhada, Khreshna & Hakim, Arief & Suprijanto, Djoko & Muchtadi-Alamsyah, Intan & Arbi, Lukman, 2022. "Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk," Resources Policy, Elsevier, vol. 79(C).
    7. Ren, Xiaohang & Wang, Rui & Duan, Kun & Chen, Jinyu, 2022. "Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold," Research in International Business and Finance, Elsevier, vol. 62(C).
    8. Assaf, Ata & Mokni, Khaled & Yousaf, Imran & Bhandari, Avishek, 2023. "Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19," Research in International Business and Finance, Elsevier, vol. 64(C).
    9. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2020. "Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 54(C).
    10. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
    11. Elsayed, Ahmed H. & Gozgor, Giray & Lau, Chi Keung Marco, 2022. "Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties," International Review of Financial Analysis, Elsevier, vol. 81(C).
    12. Hasan, Md. Bokhtiar & Hassan, M. Kabir & Rashid, Md. Mamunur & Alhenawi, Yasser, 2021. "Are safe haven assets really safe during the 2008 global financial crisis and COVID-19 pandemic?," Global Finance Journal, Elsevier, vol. 50(C).
    13. Cheema, Muhammad A. & Faff, Robert & Szulczyk, Kenneth R., 2022. "The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?," International Review of Financial Analysis, Elsevier, vol. 83(C).
    14. Shehzad, Khurram & Bilgili, Faik & Zaman, Umer & Kocak, Emrah & Kuskaya, Sevda, 2021. "Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach," Resources Policy, Elsevier, vol. 73(C).
    15. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    16. Goodell, John W. & Goutte, Stephane, 2021. "Diversifying equity with cryptocurrencies during COVID-19," International Review of Financial Analysis, Elsevier, vol. 76(C).
    17. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
    18. Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
    19. Wang, Peijin & Zhang, Hongwei & Yang, Cai & Guo, Yaoqi, 2021. "Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges," Research in International Business and Finance, Elsevier, vol. 58(C).
    20. Wang, Jingjing & Wang, Xiaoyang, 2021. "COVID-19 and financial market efficiency: Evidence from an entropy-based analysis," Finance Research Letters, Elsevier, vol. 42(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000933. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.