IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-981-19-3296-0_10.html
   My bibliography  Save this book chapter

U.S Stock Market and Cryptocurrencies During the COVID-19 Pandemic Outbreak

In: Crises and Uncertainty in the Economy

Author

Listed:
  • Mohamed YOUSFI

    (University of Sousse)

  • Younes Ben ZAIED

    (EDC Paris Business School)

  • Youssef TLICHE

    (EM Normandie Business School)

Abstract

This paper investigates the dynamic correlation and hedge ratio between S&P500 index and 4 major cryptocurrencies (Bitcoin, Litecoin, Ethereum and Tether), applying the M-GARCH model and using daily data July 5, 2015 to October 12, 2020. We show that the dynamic conditional correlation within market pairs is positive, which supports the contagion effects. However, in some periods, though short, the conditional correlation is low or negative for some pairs, indicating that portfolio managers and investors must earn more gain from a portfolio diversification strategy. The hedging analysis show that the most optimal hedge ratio between the couple pairs increase during the COVID-19 period compared to the pre-COVID-19 period. Moreover, the hedging effectiveness also show a rise during the pandemic compared to the pre-COVID-19 period and we found that the Ethereum has the highest hedging effectiveness followed by the Bitcoin. This findings may have important implications for investors to mitigate their exposure to the risk within their portfolio construction.

Suggested Citation

  • Mohamed YOUSFI & Younes Ben ZAIED & Youssef TLICHE, 2022. "U.S Stock Market and Cryptocurrencies During the COVID-19 Pandemic Outbreak," Springer Books, in: Hachmi BEN AMEUR & Zied FTITI & Wael LOUHICHI & Jean-Luc PRIGENT (ed.), Crises and Uncertainty in the Economy, chapter 0, pages 171-186, Springer.
    • Handle: RePEc:spr:sprchp:978-981-19-3296-0_10
    DOI: 10.1007/978-981-19-3296-0_10
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-981-19-3296-0_10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.