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<p>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.</p>
</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.

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

Economics and Business Review

This work is licensed under the Creative Commons Attribution 4.0 International License.

The paper employs a threshold regression framework conditioned by two COVID-19 related proxies, to investigate whether Bitcoin and Ether exhibit short-term...

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

Publié en ligne: 18 juil. 2022

Pages: 29 - 49

Reçu: 25 mai 2021

Accepté: 25 juin 2022

DOI: https://doi.org/10.18559/ebr.2022.2.3

Mots clés
Bitcoin, Ether, COVID-19, stock market index, sustainable indices, bond yield, threshold regression

© 2022 Teodora Cristina Barbu et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

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

Publié en ligne: 18 juil. 2022

Pages: 29 - 49

Reçu: 25 mai 2021

Accepté: 25 juin 2022

DOI: https://doi.org/10.18559/ebr.2022.2.3

Mots clésBitcoin, Ether, COVID-19, stock market index, sustainable indices, bond yield, threshold regression

© 2022 Teodora Cristina Barbu et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Mots clés
Bitcoin, Ether, COVID-19, stock market index, sustainable indices, bond yield, threshold regression