Are cryptos safe-haven assets during Covid-19? Evidence from wavelet coherence analysis

Rubbaniy, Ghulame; Khalid, Ali Awais; Samitas, Aristeidis

Abstract

This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that represents fear of households and retail investors reveals cryptocurrencies as safe-haven assets; however, a financial market-based proxy of market turbulence exposes that cryptocurrencies behave like traditional assets during the times of Covid-19 pandemic. Our findings support that long-term investors can invest in the cryptocurrency market to hedge the risks during Covid-19 pandemic.

• Journal Article Type: Article
• Acceptance Date: Jan 1, 2021
• Online Publication Date: May 7, 2021
• Publication Date: 2021
• Deposit Date: Nov 20, 2023
• Journal: Emerging Markets Finance and Trade
• Print ISSN: 1540-496X
• Electronic ISSN: 1558-0938
• Publisher: Taylor & Francis (Routledge)
• Peer Reviewed: Peer Reviewed
• Volume: 57
• Issue: 6
• Pages: 1741-1756
• DOI: https://doi.org/10.1080/1540496X.2021.1897004
• Public URL: https://uwe-repository.worktribe.com/output/11456606