Performance of gold-backed cryptocurrencies during the COVID-19 crisis

被引：42

作者：

Wasiuzzaman, Shaista ^{[1
]}

Rahman, Hajah Siti Wardah Haji Abdul ^{[1
]}

机构：

[1] Univ Teknol Brunei, Sch Business, Jalan Tungku Link, Bandar Seri Begawan, Brunei

来源：

FINANCE RESEARCH LETTERS | 2021年 / 43卷

关键词：

Cryptocurrencies; Gold; COVID-19; Return; Volatility; SAFE-HAVEN; BITCOIN; HEDGE;

D O I：

10.1016/j.frl.2021.101958

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study is aimed at investigating the performance of Gold-backed cryptocurrencies during the COVID-19 crisis and in particular, during the bear market of 2020. Analysis is conducted on the daily returns of PAX Gold from 2 October 2019 to 28 September 2020 using the ARMA-GARCH model. The results are compared with those of Paxos Standard (PAX) and Gold during the same period. The results show the mean returns of the three financial instruments increase during crisis periods but the increase is insignificant. PAX Gold experiences increased volatility during the COVID-19 crisis and the bear market but the increase is insignificant.

引用

页数：6

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