Submitted:
10 June 2021
Posted:
10 June 2021
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Preprints on COVID-19 and SARS-CoV-2
Abstract
This paper examines interlinkages and hedging opportunities between nine major cryptocurrencies for the period between 30 September 2015 and 4 June 2020, which notably includes the coronavirus disease 2019 (COVID-19) outbreak lasting from early 2020 through the end of the sample period. The results of dynamic conditional correlation (DCC) analysis using a minimum connectedness approach show a high degree of correlation between cryptocurrencies throughout the sample period. However, the correlations reach their minimum values during the COVID-19 pandemic, which indicates that cryptocurrencies acted as a hedge or safe haven during the stressful period of the COVID-19 pandemic. The weight of cryptocurrencies was significantly reduced and their hedging effectiveness varied greatly during the pandemic, which indicates that investors’ preferences changed during the COVID-19 period.
Keywords:
Cryptocurrency
; Coronavirus Disease 2019
; Time-Varying Parameter Vector Autoregression
; Portfolio Weight
; Hedging Effectiveness
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
