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Pandemic. A Non-Linear Analysis

Author

Listed:
  • TRIFU, Cosmin

    (Bucharest University of Economic Studies, Doctoral School of Finance, Romania)

  • BLAGA, Florin

    (Bucharest University of Economic Studies, Doctoral School of Finance, Romania)

  • MIHAI, Georgian Danut

    (Bucharest University of Economic Studies, Doctoral School of Finance, Romania)

Abstract

In this paper we investigate the impact of Bitcoin, Gold and S&P Index on BET index in order to test the Safe Havens hypothesis during COVID-19 Pandemic. Using daily data covering 2019-2021 period we find that BET index returns is sensitive to S&P Index returns regardless the information’s surrounding the USA economy and the political environment. Furthermore, the Gold return exhibit a positive impact on BET Index Return indicating that the higher the return of Gold, the higher the profit of traders investing on BET Index. Finally, we find strong empirical evidences indicating that BITCOIN, Gold and S&P are not safe havens relative to BET Index.

Suggested Citation

  • TRIFU, Cosmin & BLAGA, Florin & MIHAI, Georgian Danut, 2022. "Pandemic. A Non-Linear Analysis," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 10(1), pages 184-189, October.
    • Handle: RePEc:vls:rojfme:v:10:y:2022:i:1:p:184-189
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bitcoin; Gold; quantile regression; threshold regression;
    All these keywords.

    JEL classification:

    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H21 - Public Economics - - Taxation, Subsidies, and Revenue - - - Efficiency; Optimal Taxation
    • O23 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Fiscal and Monetary Policy in Development

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