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Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic

Conlon, Thomas ORCID: 0000-0002-9187-5173, Corbet, Shaen ORCID: 0000-0001-7430-7417 and McGee, Richard J. ORCID: 0000-0002-7270-3122 (2020) Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54 . ISSN 0275-5319

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Abstract

The COVID-19 pandemic provided the first widespread bear market conditions since the inception of cryptocurrencies. We test the widely mooted safe haven properties of Bitcoin, Ethereum and Tether from the perspective of international equity index investors. Bitcoin and Ethereum are not a safe haven for the majority of international equity markets examined, in fact increasing portfolio downside risk. Only investors in the Chinese CSI 300 index realized modest downside risk benefits, but only from small relative allocations to Bitcoin or Ethereum. As Tether successfully maintained its peg to the US dollar during the COVID-19 turmoil, it acted as a safe haven investment for all of the international indices examined. We caveat the latter findings with a warning that this dollar peg has not always been maintained, impairing the earlier downside risk hedging properties of Tether.

Item Type:Article (Published)
Refereed:Yes
Additional Information:Article number: 101248
Uncontrolled Keywords:Cryptocurrency; Bitcoin; Ethereum; Tether; Safe Haven; Downside Risk; COVID-19
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Publisher:Elsevier
Official URL:https://dx.doi.org/10.1016/j.ribaf.2020.101248
Copyright Information:© 2020 The Authors. Open Access (CC-BY-4.0)
ID Code:25978
Deposited On:08 Jun 2021 17:08 by Thomas Murtagh . Last Modified 08 Jun 2021 17:08

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