Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic 论文

详细信息

发表期刊/会议

Research in International Business and Finance

发表日期

2020-06-04

发表年份

2020

摘要

The COVID-19 pandemic provided the first widespread bear market conditions since the inception of cryptocurrencies. We test the widely mooted safe haven properties of Bitcoin, Ethereum and Tether from the perspective of international equity index investors. Bitcoin and Ethereum are not a safe haven for the majority of international equity markets examined, with their inclusion adding to portfolio downside risk. Only investors in the Chinese CSI 300 index realized modest downside risk benefits (contingent on very limited allocations to Bitcoin or Ethereum). As Tether successfully maintained its peg to the US dollar during the COVID-19 turmoil, it acted as a safe haven investment for all of the international indices examined. We caveat the latter findings with a warning that Tether's dollar peg has not always been maintained, with evidence of impaired downside risk hedging properties earlier in our sample.