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

Author

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  • Barbu Teodora Cristina

    (Faculty of Finance and Banking, Bucharest University of Economic Studies, Romania, Clădirea Mihail Moxa, Strada Mihail Moxa 5-7, București, 010961, Romania)

  • Boitan Iustina Alina

    (Faculty of Finance and Banking, Bucharest University of Economic Studies, Clădirea Mihail Moxa, Strada Mihail Moxa 5-7, București, 010961, Romania)

  • Cepoi Cosmin-Octavian

    (“Victor Slăvescu” Centre for Financial and Monetary Research, Academia Română, Corp B, Calea 13 Septembrie 13, București, 050731, Romania)

Abstract

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 diversifier features for stock and bond markets. Both cryptocurrencies fulfil a diversifier 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 financial market determinants weakens.

Suggested Citation

  • Barbu Teodora Cristina & Boitan Iustina Alina & Cepoi Cosmin-Octavian, 2022. "Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks," Economics and Business Review, Sciendo, vol. 8(2), pages 29-49, July.
    • Handle: RePEc:vrs:ecobur:v:8:y:2022:i:2:p:29-49:n:3
    DOI: 10.18559/ebr.2022.2.3
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    References listed on IDEAS

    as
    1. Jiang, Yonghong & Lie, Jiayi & Wang, Jieru & Mu, Jinqi, 2021. "Revisiting the roles of cryptocurrencies in stock markets: A quantile coherency perspective," Economic Modelling, Elsevier, vol. 95(C), pages 21-34.
    2. Gil-Alana, Luis Alberiko & Abakah, Emmanuel Joel Aikins & Rojo, María Fátima Romero, 2020. "Cryptocurrencies and stock market indices. Are they related?," Research in International Business and Finance, Elsevier, vol. 51(C).
    3. Lahmiri, Salim & Bekiros, Stelios, 2020. "The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bitcoin; Ether; COVID-19; stock market index; sustainable indices; bond yield; threshold regression;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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