Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks

被引：6

作者：

Barbu, Teodora Cristina ^{[1
]}

Boitan, Iustina Alina ^{[1
]}

Cepoi, Cosmin-Octavian ^{[2
]}

机构：

[1] Bucharest Univ Econ Studies, Fac Finance & Banking, Cladirea Mihail Moxa,Str Mihail Moxa 5 7, Bucureti 010961, Romania

[2] Acad Romana, Victor Slavescu Ctr Financial & Monetary Res, Corp B,Calea 13 Septembrie 13, Bucureti 050731, Romania

来源：

ECONOMICS AND BUSINESS REVIEW | 2022年 / 8卷 / 02期

关键词：

Bitcoin; Ether; COVID-19; stock market index; sustainable indices; bond yield; threshold regression; BITCOIN; HEDGE; GOLD; MARKET; STOCKS; BONDS;

D O I：

10.18559/ebr.2022.2.3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term safe haven or diversifier features for stock and bond markets. Both cryptocurrencies fulfil a diversifier role for the responsible investments represented by sustainable stock market indices, a safe haven role for major bond markets and a mixed role for a selection of representative stock market indices. Furthermore, in times characterized by an increasing number of COVID-19 daily cases or deaths the statistical relationship between both cryptocurrencies and the main financial market determinants weakens.

引用

页码：29 / 49

页数：21

共 36 条

[1] Cryptocurrencies and stock market indices. Are they related? [J].