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Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic A comparison

Tipo
Artigos

Ano
06/12/2021

Linha de Pesquisa
Formação, Crescimento e Transformação de Sistemas de Negócio, Organizacionais e Sócio-Econômicos

Autor(es)
Natalia Diniz-Maganini, Eduardo H. Diniz, Abdul A. Rasheed

Orientador

https://doi.org/10.1016/j.ribaf.2021.101472


Research in International Business and Finance, v. 58. Abstract: As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI World) during the four months after the World Health Organization officially designated COVID-19 as a global pandemic. Using intraday data, we find that Bitcoin prices were more efficient than the US dollar and MSCI World indices. Using a detrended partial-cross-correlation analysis, our results show that net cross-correlations vary across time scales. Our results suggest that when the time scale is greater than two months, gold can be considered as a safe haven for investors holding the MSCI World and US dollar indices and when the time scale exceeds three months, Bitcoin can be considered a safe haven for the MSCI World index.

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