At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as
the epicentre of both physical and financial contagion. Our results indicate that a number of
characteristics expected during a “flight to safety” were present during the period analysed. The
volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly
during this period of enormous financial stress. We provide a number of observations as to why
this situation occurred. Such dynamic correlations during periods of stress present further evidence to cautiously support the validity of the development of this new financial product within
mainstream portfolio design through the diversification benefits provided.