The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies 论文

详细信息

发表期刊/会议

Finance research letters

发表日期

2020-05-14

发表年份

2020

摘要

At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a “flight to safety” were present during the period analysed. The volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous financial stress. We provide a number of observations as to why this situation occurred. Such dynamic correlations during periods of stress present further evidence to cautiously support the validity of the development of this new financial product within mainstream portfolio design through the diversification benefits provided.