In this paper, we investigate the role of Bitcoin as a safe haven against the stock market losses during the spread of COVID-19. The performed analysis was based on a regression model with dummy variables defined around some crucial dates of the pandemic and on the dynamic conditional correlations. To try to model the real dynamics of the markets, we studied the safe-haven properties of Bitcoin against thirteen of the major stock market indexes losses using daily data spanning from 1 July 2019 until 20 February 2021. A similar analysis was also performed for Ether. Results show that this pandemic impacts on the Bitcoin status as safe haven, but we are still far from being able to define Bitcoin as a safe haven.
Bitcoin as Safe Haven during Covid-19 Disease
Cocco L
;Tonelli R;
2022-01-01
Abstract
In this paper, we investigate the role of Bitcoin as a safe haven against the stock market losses during the spread of COVID-19. The performed analysis was based on a regression model with dummy variables defined around some crucial dates of the pandemic and on the dynamic conditional correlations. To try to model the real dynamics of the markets, we studied the safe-haven properties of Bitcoin against thirteen of the major stock market indexes losses using daily data spanning from 1 July 2019 until 20 February 2021. A similar analysis was also performed for Ether. Results show that this pandemic impacts on the Bitcoin status as safe haven, but we are still far from being able to define Bitcoin as a safe haven.
| File | Dimensione | Formato | |
|---|---|---|---|
|
Future Internet 2022.pdf
accesso aperto
Descrizione: articolo online
Tipologia:
versione editoriale (VoR)
Dimensione
411.81 kB
Formato
Adobe PDF
|
411.81 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
