Are stablecoins better safe havens or hedges against global stock markets than other assets? Comparative analysis during the COVID-19 pandemic

被引：2

作者：

Feng, Jingyu ^{[1
]}

Yuan, Ying ^{[1
,2
,3
]}

Jiang, Mingxuan ^{[4
]}

机构：

[1] Northeastern Univ, Sch Business Adm, Shenyang 110169, Peoples R China

[2] Northeastern Univ, Natl Frontiers Sci Ctr Ind Intelligence & Syst Opt, Shenyang 110819, Peoples R China

[3] Northeastern Univ, Key Lab Data Analyt & Optimizat Smart Ind, Minist Educ, Shenyang, Peoples R China

[4] Northeastern Univ, Sch Software, Shenyang 110169, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2024年 / 92卷

关键词：

Stablecoins; Cryptocurrency; Pegging mechanism; Safe haven; Hedge; GOLD; BITCOIN; RISK; US; DOLLAR; HETEROSKEDASTICITY; INVESTMENT;

D O I：

10.1016/j.iref.2024.02.014

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines whether stablecoins act as diversifiers, hedges or safe havens against global stock markets during the COVID-19 pandemic, leveraging the DCC-GARCH model and dummy variable regression. In addition, we examine the dynamics of stablecoins' safe haven ability during the COVID-19 pandemic and diverse stages of the COVID-19 pandemic's development, and compare it with two traditional safe havens (gold and USD), as well as Bitcoin. Our findings reveal that both gold-pegged and USD-pegged stablecoins show a stronger hedging ability against global stock markets. In particular, USD-pegged stablecoins can be considered stable hedges and safe havens, especially during the different stages of the COVID-19 pandemic's development. Conversely, Bitcoin and traditional safe havens do not consistently provide stable hedge or safe haven properties.

引用

页码：275 / 301

页数：27

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