Abstract
This paper discusses the relationship between the volatilities of traditional and digital assets before and during the COVID-19 pandemic. Using daily data relevant to the period ranging from January 4, 2016, to April 15, 2020, the results of the DCC-MVGARCH model indicate that the stock markets responded to the Coronavirus outbreak as the crypto market with worrying volatility. Before this outbreak, Bitcoin and gold are considered as a hedge for US, English, French, German, and Italian financial investors. The conditional correlation between stock indices and other assets was skyrocketing during this pandemic, except for the couple SSE-Ripple.
Highlights
The template presents the sections that can be used in a manuscript
The crypto market became more volatile after the appearance of the COVID-19 in early 2020
Gold is not playing the role of a haven that it has performed in the past
Summary
The template presents the sections that can be used in a manuscript. Each section has an As the COVID-19 virus outbreak news moves far beyond China, the Coronavirus is sending ripples through the stock market and world economy. Since the Bretton Woods crash, gold does not have the same significance in the international monetary system. It attracts tremendous interest from investors, the media, and researchers. During the global economic and financial crisis that started in 2007 with the subprime mortgage market crisis in the United States, gold prices rose dramatically, while other assets suffered losses (Beckmann et al, 2015). It appears that gold is used to act as a hedge in times of financial instability (Selmi et al 2018; Bouri et al 2020; Jareno et al, 2020; Demir et al, 2020; Jeribi and Snene Manzli, 2021, Kumah et al, 2021; Jeribi and Ghorbel, 2021; Ghorbel and Jeribi, 2021, a,b,c)
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