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COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

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  • Darko Vukovic

    (International Laboratory for Finance and Financial Markets Finance, Faculty of Economics, People’s Friendship University of Russia (RUDN University), Miklukho-Maklaya Str.6, 117198 Moscow, Russia
    Finance and Credit Department, Faculty of Economics, People’s Friendship University of Russia (RUDN University), Miklukho-Maklaya Str.6, 117198 Moscow, Russia
    Geographical Institute “Jovan Cvijic” SASA, Djure Jaksica 9, 11000 Belgrade, Serbia)

  • Moinak Maiti

    (National Research University Higher School of Economics, St. Petersburg School of Economics and Management, Department for Finance, Kantemirovskaya St. 3A, 194100 Sankt Petersburg, Russia)

  • Zoran Grubisic

    (Belgrade Banking Academy, Faculty for Banking, Insurance and Finance, Zmaj Jovina 12, 11000 Belgrade, Serbia)

  • Elena M. Grigorieva

    (International Laboratory for Finance and Financial Markets Finance, Faculty of Economics, People’s Friendship University of Russia (RUDN University), Miklukho-Maklaya Str.6, 117198 Moscow, Russia
    Finance and Credit Department, Faculty of Economics, People’s Friendship University of Russia (RUDN University), Miklukho-Maklaya Str.6, 117198 Moscow, Russia)

  • Michael Frömmel

    (Department of Economics, Ghent University, Sint-Pietersplein 5, 9000 Gent, Belgium)

Abstract

The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

Suggested Citation

  • Darko Vukovic & Moinak Maiti & Zoran Grubisic & Elena M. Grigorieva & Michael Frömmel, 2021. "COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave," Sustainability, MDPI, vol. 13(15), pages 1-17, July.
    • Handle: RePEc:gam:jsusta:v:13:y:2021:i:15:p:8578-:d:606381
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