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Volume 8 (22) Number 2 pp. 29-49

Teodora Cristina Barbu1, Iustina Alina Boitan1, Cosmin-Octavian Cepoi2

1Faculty of Finance and Banking, Bucharest University of Economic Studies, Romania.
2
“Victor Slăvescu” Centre for Financial and Monetary Research, Academia Română, Romania.

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

Abstract:

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.

pub/2022_2_29.pdf Full text available in Adobe Acrobat format:
http://www.ebr.edu.pl/volume22/issue2/2022_2_29.pdf
Keywords: Bitcoin, Ether, COVID-19, stock market index, sustainable indices, bond yield, threshold regression.

DOI: 10.18559/ebr.2022.2.3

For citation:

MLA Barbu, Teodora Cristina, et al. "Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks." Economics and Business Review EBR 22.2 (2022): 29-49. DOI: 10.18559/ebr.2022.2.3
APA Barbu, T. C., Boitan, I. A., & Cepoi, C. (2022). Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks. Economics and Business Review EBR 22(2), 29-49 DOI: 10.18559/ebr.2022.2.3
ISO 690 BARBU, Teodora Cristina, BOITAN, Iustina Alina, CEPOI, Cosmin-Octavian. Are cryptocurrencies safe havens during the COVID-19 pandemic? A threshold regression perspective with pandemic-related benchmarks. Economics and Business Review EBR, 2022, 22.2: 29-49. DOI: 10.18559/ebr.2022.2.3