Abstract
In this study, we employ the cost of carrying model to estimate the convenience yields of gold and bitcoin. Using the COVID-19 crisis as a demand shock, we show that the convenience yield of bitcoin decreases, but the convenience yield of gold increases during the pandemic. We further document an inverse relationship between bitcoin user adoption and convenience yield. Such relationship intensifies during the COVID-19 crisis and is mainly driven by the unexpected component of bitcoin's unique active addresses. Our overall findings indicate that gold rather than bitcoin attracts flight-to-safety investors in the pandemic. We provide supporting evidence for the decrease in bitcoin convenience yield, which can be explained by the sudden increase in active trading addresses that short-term speculators own most.
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