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Dwita Mariana, Christy; Ekaputra, Irwan Adi; Husodo, Zaäfri Ananto
Finance research letters, 01/2021, Letnik: 38Journal Article
•We utilize the COVID-19 pandemic announcement as the setting to test the safe-haven properties of Bitcoin and Ethereum.•Bitcoin and Ethereum exhibit short-term safe-haven properties.•Ethereum is potentially a better safe-haven than Bitcoin.•However, both cryptocurrencies exhibit high volatilities. Utilizing the WHO COVID-19 pandemic statement, we test Bitcoin and Ethereum as safe-havens for stocks. We find that the two largest cryptocurrencies are suitable as short-term safe-havens. The DCC and cDCC results show that their daily returns tend to correlate with S&P500 return negatively during the pandemic. The regression results also robustly support the safe-haven features and uncover that Ethereum is possibly a better safe-haven than Bitcoin. However, we note that both coins exhibit high volatilities. Before (during) the pandemic daily volatilities of Bitcoin, Ethereum, gold, and the S&P500 are 3.44% (9.11%), 4.34% (10.96%), 0.89% (2.19%), and 1.27% (6.07%), respectively.
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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