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A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis

Author

Listed:
  • Zdravka Aljinoviæ

    (University of Split, Faculty of Economics Business and Tourism, Department of Quantitative Methods)

  • Tea Šestanoviæ

    (University of Split, Faculty of Economics Business and Tourism, Department of Quantitative Methods)

  • Blanka Škrabiæ Periæ

    (University of Split, Faculty of Economics Business and Tourism, Department of Quantitative Methods)

Abstract

The purpose of this paper is to reinvestigate the properties of cryptocurrencies in the COVID-19 crisis as well as their co-movements with different asset classes including different stock markets, bonds, real estate, gold and oil. To capture the change in correlation caused by crisis, we employ multivariate GARCH Dynamic Conditional Correlation model. The findings suggest that cryptocurrencies can be seen no more than a diversifier for most of the assets. For real estate and S&P500 it is confirmed to be a weak hedge, while positive and upward sloping dynamic conditional correlations with gold obtained in COVID-19 period needs to be further investigated.

Suggested Citation

  • Zdravka Aljinoviæ & Tea Šestanoviæ & Blanka Škrabiæ Periæ, 2022. "A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis," Journal of Economics / Ekonomicky casopis, Institute of Economic Research, Slovak Academy of Sciences, vol. 70(7-8), pages 603-621, July.
    • Handle: RePEc:sav:journl:v:70:y:2022:i:7-8:p:603-621
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    COVID-19; cryptocurrencies; CRIX; MGARCH-DCC; conditional correlations;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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