ABSTRACT

This study adds to the inconclusive debate on safe-haven properties of cryptocurrencies during Covid-19 by analyzing the use of wavelet coherence framework on the global Covid-19 fear index, cryptocurrency implied volatility index (VCRIX), and cryptocurrency returns. Our findings show that a non-financial market-based proxy of market stress that represents fear of households and retail investors reveals cryptocurrencies as safe-haven assets; however, a financial market-based proxy of market turbulence exposes that cryptocurrencies behave like traditional assets during the times of Covid-19 pandemic. Our findings support that long-term investors can invest in the cryptocurrency market to hedge the risks during Covid-19 pandemic.

摘要

这项研究通过分析在全球Covid-19恐惧指数，加密货币隐含波动率指数（VCRIX）和加密货币收益率上使用小波相干性框架，增加了在Covid-19期间关于加密货币安全性的不确定性辩论。我们的研究结果表明，基于非金融市场压力的市场压力代表了对家庭和散户投资者的担忧，这表明加密货币是避险资产。但是，基于金融市场动荡的代理市场表明，在Covid-19大流行期间，加密货币的行为类似于传统资产。我们的研究结果支持长期投资者可以在Covid-19大流行期间对加密货币市场进行投资以对冲风险。