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COVID-19 pandemic and economic policy uncertainty: The first test on the hedging and safe haven properties of cryptocurrencies

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  • Mokni, Khaled
  • Youssef, Manel
  • Ajmi, Ahdi Noomen

Abstract

This study examines the role of the top-5 cryptocurrencies and gold as a hedge and safe haven against the economic policy uncertainty (EPU) before and during the ongoing COVID–19 crisis. We use the GARCH model for the main analysis and a safe haven index (SHI) for robustness. Our findings show that gold and cryptocurrencies cannot act as a strong hedge or safe haven against EPU before and during the COVID-19 pandemic. However, we find that the SHI exhibits negative returns and increased volatility during the COVID-19 and confirms that cryptocurrencies generally act as weak safe haven. Gold is classified as a weak safe haven asset during the whole period and more likely as a safe asset before the health crisis but loses its safe haven property during the COVID-19 crisis. Our findings provide useful information for investors interested in the cryptocurrency market and safe haven assets when building assets portfolios.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:riibaf:v:60:y:2022:i:c:s027553192100194x
    DOI: 10.1016/j.ribaf.2021.101573
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    More about this item

    Keywords

    COVID-19; Bitcoin; Economic policy uncertainty; Hedging; Safe haven;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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