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Looking for a safe haven against American stocks during COVID-19 pandemic

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  • Kliber, Agata

Abstract

This article aims to find the best safe-haven for stock investors in the American market since the COVID-19 pandemic outbreak. The research period covers March 2020–May 2022. Among the possible alternatives, we analyse the traditional ones: US bonds, gold, and silver, as well as the new ones: stable DeFi and CeFi coins, and most popular cryptocurrencies: Bitcoin and Ether. We study quantile coherency between S&P 500 and each asset and the respective conditional correlation. We show that the safe-haven properties of the assets varied over time and that centralized stablecoins could have been used as safe-haven against American stocks during the pandemics.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001607
    DOI: 10.1016/j.najef.2022.101825
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    More about this item

    Keywords

    Safe haven; Quantile coherency; S&P 500; COVID-19; Stablecoins; DeFi coins; Cryptocurrencies;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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