IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/110117.html
   My bibliography  Save this paper

Bitcoin and traditional currencies during the Covid-19 pandemic period

Author

Listed:
  • Chu, Meifen

Abstract

The objective of this study is to examine the movement of Bitcoin and the traditional currencies (USD, EURO, GBP and CNY) and the Bitcoin’s hedging of the traditional currencies. First, this paper observes the Bitcoin and four traditional currency exchange series: the USD, EURO, GBP and CNY. Second, it examines the fluctuation patterns of each series by using wavelet transform analysis, Third, a wavelet coherence analysis is applied to examine the interdependence between the Bitcoin and the four traditional currencies. The phase pattern analysis results indicate that the Bitcoin may not act as a hedging currency to replace the traditional currencies during the Covid-19 crisis. Another interesting result shows the rapid increasing number of the World Covid-19 Deaths (CovidDeaths) may not be the critical reason for the hyper price of the Bitcoin. The massive quantitative easing (QE) may be considered as the key reason for the soar-up of the Bitcoin price.

Suggested Citation

  • Chu, Meifen, 2021. "Bitcoin and traditional currencies during the Covid-19 pandemic period," MPRA Paper 110117, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:110117
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/110117/1/MPRA_paper_110117.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011. "Business cycle synchronization and the Euro: A wavelet analysis," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 477-489, September.
    2. García-Monleón, Fernando & Danvila-del-Valle, Ignacio & Lara, Francisco J., 2021. "Intrinsic value in crypto currencies," Technological Forecasting and Social Change, Elsevier, vol. 162(C).
    3. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2021. "Cyber-attacks, spillovers and contagion in the cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    4. Klein, Tony & Pham Thu, Hien & Walther, Thomas, 2018. "Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 105-116.
    5. Nazifi, Amin & Murdy, Samantha & Marder, Ben & Gäthke, Jana & Shabani, Bardia, 2021. "A Bit(coin) of happiness after a failure: An empirical examination of the effectiveness of cryptocurrencies as an innovative recovery tool," Journal of Business Research, Elsevier, vol. 124(C), pages 494-505.
    6. Li, Rong & Li, Sufang & Yuan, Di & Zhu, Huiming, 2021. "Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis," Research in International Business and Finance, Elsevier, vol. 56(C).
    7. Jiang, Shangrong & Li, Xuerong & Wang, Shouyang, 2021. "Exploring evolution trends in cryptocurrency study: From underlying technology to economic applications," Finance Research Letters, Elsevier, vol. 38(C).
    8. Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
    9. Stefano Martinazzi & Andrea Flori, 2020. "The evolving topology of the Lightning Network: Centralization, efficiency, robustness, synchronization, and anonymity," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-18, January.
    10. Ender Demir & Mehmet Huseyin Bilgin & Gokhan Karabulut & Asli Cansin Doker, 2020. "The relationship between cryptocurrencies and COVID-19 pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(3), pages 349-360, September.
    11. Karabulut, Gokhan & Bilgin, Mehmet Huseyin & Doker, Asli Cansin, 2020. "The relationship between commodity prices and world trade uncertainty," Economic Analysis and Policy, Elsevier, vol. 66(C), pages 276-281.
    12. Dyhrberg, Anne Haubo, 2016. "Hedging capabilities of bitcoin. Is it the virtual gold?," Finance Research Letters, Elsevier, vol. 16(C), pages 139-144.
    13. Urom, Christian & Abid, Ilyes & Guesmi, Khaled & Chevallier, Julien, 2020. "Quantile spillovers and dependence between Bitcoin, equities and strategic commodities," Economic Modelling, Elsevier, vol. 93(C), pages 230-258.
    14. Manavi, Seyed Alireza & Jafari, Gholamreza & Rouhani, Shahin & Ausloos, Marcel, 2020. "Demythifying the belief in cryptocurrencies decentralized aspects. A study of cryptocurrencies time cross-correlations with common currencies, commodities and financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
    2. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    3. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
    4. Kurka, Josef, 2019. "Do cryptocurrencies and traditional asset classes influence each other?," Finance Research Letters, Elsevier, vol. 31(C), pages 38-46.
    5. Haffar, Adlane & Le Fur, Éric, 2022. "Time-varying dependence of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 211-220.
    6. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    7. Xinyu Huang & Weihao Han & David Newton & Emmanouil Platanakis & Dimitrios Stafylas & Charles Sutcliffe, 2023. "The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19," The European Journal of Finance, Taylor & Francis Journals, vol. 29(7), pages 800-825, May.
    8. André D. Gimenes & Jéfferson A. Colombo & Imran Yousaf, 2023. "Store of value or speculative investment? Market reaction to corporate announcements of cryptocurrency acquisition," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-31, December.
    9. Rubaiyat Ahsan Bhuiyan & Afzol Husain & Changyong Zhang, 2023. "Diversification evidence of bitcoin and gold from wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-36, December.
    10. Merediz-Solà, Ignasi & Bariviera, Aurelio F., 2019. "A bibliometric analysis of bitcoin scientific production," Research in International Business and Finance, Elsevier, vol. 50(C), pages 294-305.
    11. Parthajit Kayal & G. Balasubramanian, 2021. "Excess Volatility in Bitcoin: Extreme Value Volatility Estimation," IIM Kozhikode Society & Management Review, , vol. 10(2), pages 222-231, July.
    12. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
    13. Donglian Ma & Pengxiang Zhai, 2021. "The Accuracy of the Tick Rule in the Bitcoin Market," SAGE Open, , vol. 11(2), pages 21582440211, May.
    14. Gill-de-Albornoz, Belén & Lafuente, Juan A. & Monfort, Mercedes & Ordoñez, Javier, 2024. "Bitcoin attention and economic policy uncertainty," Finance Research Letters, Elsevier, vol. 60(C).
    15. Haffar, Adlane & Le Fur, Eric, 2021. "Structural vector error correction modelling of Bitcoin price," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 170-178.
    16. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
    17. Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua, 2019. "Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective," Finance Research Letters, Elsevier, vol. 31(C), pages 1-18.
    18. David E. Allen, 2022. "Cryptocurrencies, Diversification and the COVID-19 Pandemic," JRFM, MDPI, vol. 15(3), pages 1-25, February.
    19. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    20. Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

    More about this item

    Keywords

    Bitcoin; Traditional currencies; Covid-19; CovidDeaths; Hedging feature; Wavelet Analysis;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:110117. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.