Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market
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..
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Preprint| Erscheinungsjahr: |
2021 |
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| Erschienen: |
2021 |
| Enthalten in: |
Preprints.org - (2021) vom: 11. Juni Zur Gesamtaufnahme - year:2021 |
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| Sprache: |
Englisch |
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| Beteiligte Personen: |
Nasreen, Samia [VerfasserIn] |
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| Links: |
Volltext [kostenfrei] |
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| doi: |
10.20944/preprints202106.0291.v1 |
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| PPN (Katalog-ID): |
preprintsorg031970532 |
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| 520 | |a 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. | ||
| 700 | 1 | |a Tiwari, Aviral Kumar |e verfasserin |4 aut | |
| 700 | 1 | |a Yoon, Seong-Min |e verfasserin |4 aut | |
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