Are Cryptocurrencies Safe Havens During the Covid-19 Pandemic? A Threshold Regression Perspective with Pandemic-Related Benchmarks

• Autorzy: Teodora Cristina Barbu , Iustina Alina Boitan , Cosmin-Octavian Cepoi
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

PL

Kryptowaluty; Bitcoin; COVID-19; Indeks giełdowy; Rentowność obligacji; Regresja logistyczna

EN

Cryptocurrencies; Bitcoin; COVID-19; Stock market indexes; Bond yield; Logistic regression

• Czasopismo: Economics and Business Review
• Rocznik: 2022
• Tom: 8 (22)
• Numer: nr 2
• Strony: 29-49

Twórcy

autor

Teodora Cristina Barbu

• Bucharest University of Economic Studies, Romania

autor

Iustina Alina Boitan

• Bucharest University of Economic Studies, Romania

autor

Cosmin-Octavian Cepoi

• "Victor Slăvescu" Centre for Financial and Monetary Research, Academia Română, Romania

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Identyfikatory

DOI

10.18559/ebr.2022.2.3