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Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?

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  • Dwita Mariana, Christy
  • Ekaputra, Irwan Adi
  • Husodo, Zaäfri Ananto

Abstract

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.

Suggested Citation

  • Dwita Mariana, Christy & Ekaputra, Irwan Adi & Husodo, Zaäfri Ananto, 2021. "Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316123
    DOI: 10.1016/j.frl.2020.101798
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    References listed on IDEAS

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