All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Anoop S Kumar
 
''Testing Safe Haven Property of Bitcoin and Gold during Covid-19 : Evidence from Multivariate GARCH analysis''
( 2020, Vol. 40 No.3 )
 
 
We test the safe-haven property of Gold and Bitcoin against equity markets (NSE50, DJIA, SSE, and CAC40) in the backdrop of Covid-19. We employ two multivariate volatility models, namely DCC and cDCC GARCH for analytical purposes. We find both Gold and Bitcoin to be negligibly correlated with equity returns most of the time. However, we observe a positive correlation during the initial phase of Covid-19. The results suggest that both Gold and Bitcoin exhibit the safe-haven property overall. However, during Covid-19, the safe-haven property of both Bitcoin and Gold is found to be partially compromised. We find Gold to exhibit relatively better safe-haven properties.
 
 
Keywords: Bitcoin, Gold, Covid-19, Safe Haven, DCC GARCH
JEL: C5 - Econometric Modeling: General
F3 - International Finance: General
 
Manuscript Received : Jun 05 2020 Manuscript Accepted : Aug 08 2020

  This abstract has been downloaded 38 times                The Full PDF of this paper has been downloaded 107893 times