COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave

Darko Vukovic,Michael Frömmel,Zoran Grubisic,Moinak Maiti,Elena Grigorieva

doi:10.3390/su13158578

Abstract

The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

Highlights

The coronavirus disease of 2019 (COVID-19) was detected in Wuhan, China at the beginning of December 2019
In terms of the impact of the first wave, gold and oil, as typical global commodities, could have been diversifiers, with some characteristics of gold as a hedging instrument against risky assets represented by S&P 500
It is largely clear that the crypto market cannot be either a safe haven or hedge in this ongoing COVID-19 crisis

Summary

Introduction

The coronavirus disease of 2019 (COVID-19) was detected in Wuhan, China at the beginning of December 2019. It was officially reported for the first time to the world by the World Health Organization (WHO 2020) on 31 December 2019. WHO declared the COVID-19 outbreak as a public health emergency of international concern at their second meeting of the Emergency Committee (WHO, 2020). The virus had already spread to all parts of the world, and on 11 March 2020, WHO declared it as a global pandemic. Fear and panic did not bypass the world economy.

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Methods

Conclusion