Are cryptocurrencies a safe haven for equity markets?
An international perspective from the COVID-19 pandemic
Conlon, ThomasORCID: 0000-0002-9187-5173, Corbet, ShaenORCID: 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
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.