Bitcoin's price efficiency and safe haven properties during the COVID-19 pandemic: A comparison

被引：39

作者：

Diniz-Maganini, Natalia ^{[1
]}

Diniz, Eduardo H. ^{[2
]}

Rasheed, Abdul A. ^{[3
]}

机构：

[1] Getulio Vargas Fdn, FGV EAESP Sao Paulo Sch Business Adm, Dept Accounting & Finance, Rua Itapeva 474,8th Floor, BR-01313902 Sao Paulo, SP, Brazil

[2] Getulio Vargas Fdn, FGV EAESP Sao Paulo Sch Business Adm, Dept Technol & Data Sci, Rua Itapeva 474,9th Floor, BR-01313902 Sao Paulo, SP, Brazil

[3] Univ Texas Arlington, Coll Business Adm, Dept Management, Box 19467, Arlington, TX 76019 USA

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2021年 / 58卷

关键词：

Market efficiency; Safe haven; Intraday data; Bitcoin; COVID-19; STOCK MARKETS; CORRELATION-COEFFICIENTS; CROSS-CORRELATIONS; FINANCIAL CRISIS; GOLD; HEDGE; TIME; US; INVESTMENT; HYPOTHESIS;

D O I：

10.1016/j.ribaf.2021.101472

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI World) during the four months after the World Health Organization officially designated COVID-19 as a global pandemic. Using intraday data, we find that Bitcoin prices were more efficient than the US dollar and MSCI World indices. Using a detrended partial-cross-correlation analysis, our results show that net cross-correlations vary across time scales. Our results suggest that when the time scale is greater than two months, gold can be considered as a safe haven for investors holding the MSCI World and US dollar indices and when the time scale exceeds three months, Bitcoin can be considered a safe haven for the MSCI World index.

引用

页数：11

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