Version 1
: Received: 10 June 2021 / Approved: 10 June 2021 / Online: 10 June 2021 (12:07:58 CEST)
How to cite:
Nasreen, S.; Tiwari, A.K.; Yoon, S. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Preprints.org2021, 2021060291. https://doi.org/10.20944/preprints202106.0291.v1
Nasreen, S.; Tiwari, A.K.; Yoon, S. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Preprints.org 2021, 2021060291. https://doi.org/10.20944/preprints202106.0291.v1
Cite as:
Nasreen, S.; Tiwari, A.K.; Yoon, S. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Preprints.org2021, 2021060291. https://doi.org/10.20944/preprints202106.0291.v1
Nasreen, S.; Tiwari, A.K.; Yoon, S. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Preprints.org 2021, 2021060291. https://doi.org/10.20944/preprints202106.0291.v1
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.
Business, Economics and Management, Business and Management
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
