COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

被引：34

作者：

Vukovic, Darko ^{[1
,2
,3
]}

Maiti, Moinak ^{[4
]}

Grubisic, Zoran ^{[5
]}

Grigorieva, Elena M. ^{[1
,2
]}

Froemmel, Michael ^{[6
]}

机构：

[1] Peoples Friendship Univ Russia, Fac Econ, Int Lab Finance & Financial Markets Finance, RUDN Univ, Miklukho Maklaya Str 6, Moscow 117198, Russia

[2] Peoples Friendship Univ Russia, Fac Econ, Finance & Credit Dept, RUDN Univ, Miklukho Maklaya Str 6, Moscow 117198, Russia

[3] Geog Inst Jovan Cvijic SASA, Djure Jaksica 9, Belgrade 11000, Serbia

[4] Natl Res Univ Higher Sch Econ, Dept Finance, St Petersburg Sch Econ & Management, Kantemirovskaya St 3A, St Petersburg 194100, Russia

[5] Belgrade Banking Acad, Fac Banking Insurance & Finance, Zmaj Jovina 12, Belgrade 11000, Serbia

[6] Univ Ghent, Dept Econ, Sint Pieterspl 5, B-9000 Ghent, Belgium

来源：

SUSTAINABILITY | 2021年 / 13卷 / 15期

关键词：

cryptocurrency; COVID-19; safe haven; quantile regression; tether; QUANTILE REGRESSION; BITCOIN; GOLD; INVESTMENT; BEHAVIOR; DYNAMICS; MODELS; DOLLAR; HEDGE;

D O I：

10.3390/su13158578

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

引用

页数：17

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