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Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis

Author

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  • Ghulame Rubbaniy
  • Ali Awais Khalid
  • Aristeidis Samitas

Abstract

This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that represents fear of households and retail investors reveals cryptocurrencies as safe-haven assets; however, a financial market-based proxy of market turbulence exposes that cryptocurrencies behave like traditional assets during the times of Covid-19 pandemic. Our findings support that long-term investors can invest in the cryptocurrency market to hedge the risks during Covid-19 pandemic.

Suggested Citation

  • Ghulame Rubbaniy & Ali Awais Khalid & Aristeidis Samitas, 2021. "Are Cryptos Safe-Haven Assets during Covid-19? Evidence from Wavelet Coherence Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(6), pages 1741-1756, May.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:6:p:1741-1756
    DOI: 10.1080/1540496X.2021.1897004
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    Citations

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    Cited by:

    1. Luisanna Cocco & Roberto Tonelli & Michele Marchesi, 2022. "Bitcoin as a Safe Haven during COVID-19 Disease," Future Internet, MDPI, vol. 14(4), pages 1-24, March.
    2. Xu, Lei & Kinkyo, Takuji, 2023. "Hedging effectiveness of bitcoin and gold: Evidence from G7 stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    3. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
    4. Będowska-Sójka, Barbara & Kliber, Agata, 2022. "Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective," Energy Economics, Elsevier, vol. 115(C).
    5. Kliber, Agata, 2022. "Looking for a safe haven against American stocks during COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    6. Oana Panazan & Catalin Gheorghe, 2024. "Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
    7. Dash, Saumya Ranjan & Maitra, Debasish, 2022. "The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    8. amri amamou, souhir, 2021. "Cryptocurrencies responses to the Covid-19 waves," MPRA Paper 110843, University Library of Munich, Germany.
    9. Rubbaniy, Ghulame & Tee, Kienpin & Iren, Perihan & Abdennadher, Sonia, 2022. "Investors’ mood and herd investing: A quantile-on-quantile regression explanation from crypto market," Finance Research Letters, Elsevier, vol. 47(PA).
    10. Kumar, Ashish & Iqbal, Najaf & Mitra, Subrata Kumar & Kristoufek, Ladislav & Bouri, Elie, 2022. "Connectedness among major cryptocurrencies in standard times and during the COVID-19 outbreak," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    11. Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
    12. Boubaker, Sabri & Goodell, John W. & Kumar, Satish & Sureka, Riya, 2023. "COVID-19 and finance scholarship: A systematic and bibliometric analysis," International Review of Financial Analysis, Elsevier, vol. 85(C).
    13. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.
    14. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Masih, Mansur, 2022. "COVID-19 government interventions and cryptocurrency market: Is there any optimum portfolio diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    15. Ngo Thai Hung, 2022. "The COVID-19 effects on cryptocurrency markets: robust evidence from time-frequency analysis," Economics Bulletin, AccessEcon, vol. 42(1), pages 109-123.
    16. Dora Almeida & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2023. "Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis," FinTech, MDPI, vol. 2(2), pages 1-17, May.
    17. Inzamam UI Haq & Elie Bouri, 2022. "Sustainable versus Conventional Cryptocurrencies in the Face of Cryptocurrency Uncertainty Indices: An Analysis across Time and Scales," JRFM, MDPI, vol. 15(10), pages 1-16, September.
    18. Chkili, Walid & Ben Rejeb, Aymen & Arfaoui, Mongi, 2021. "Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold," Resources Policy, Elsevier, vol. 74(C).

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