Are Stablecoins Safe Havens for Traditional Cryptocurrencies? An Empirical Study during the COVID-19 Pandemic

Xie, Yao; Kang, Sang Baum; Zhao, Jialin

doi:10.24135/afl.v10i.342

Cited by 14 publications

(5 citation statements)

References 13 publications

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“…The examination of Jeger et al (2020) on stablecoins found that Tether and DAI furnished liquidity and steadiness during the downturn of the cryptocurrencies market in 2020 during the outbreak of COVID-19. Xie et al (2021) agree with Conlon et al (2020). Their findings provide evidence for the safe-haven characteristics of Tether, both prior to and amidst the outbreak of COVID-19.…”

Section: Literature Reviewsupporting

confidence: 58%

Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis

Sinlapates

Chancharat

2023

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Purpose This paper aims to investigate the effects of volatility transmission among Bitcoin and other leading cryptocurrencies, namely, Binance USD, BNB, Cardano, Dogecoin, Ethereum, Polkadot, Polygon, Solana, Tether, USD Coin and XRP. Design/methodology/approach The multivariate BEKK-GARCH model is used with the daily data set from 1 January 2017 to 31 March 2023. The data set is analysed in its entirety and is also the COVID-19 epidemic period. Findings The study reveals that while the volatility of cryptocurrency prices is influenced by their own historical shocks and volatility, there is proof of the effects shock transmission among Bitcoin and other notable cryptocurrencies. Furthermore, the authors identify the spillover effects of volatility among all 11 pairs and provide evidence that conditional correlations with varying time constants are present, and predominantly positive for both the entire and COVID-19 outbreak periods. Practical implications The findings will be helpful to market experts who want to avoid losses in traditional assets. To develop the best risk management and hedging strategies, businesses might use the information to build asset portfolios or personalise payment methods. The use of such data by investors and portfolio managers could aid in the development of investment opportunities, risk insurance plans or hedging strategies for the management of financial portfolios. Originality/value To the best of the authors’ knowledge, the use of the BEKK-GARCH model for examining the effects of volatility spillover among Bitcoin and the other eleven top cryptocurrencies has not been previously documented.

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Section: Literature Reviewsupporting

confidence: 58%

Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis

Sinlapates

Chancharat

2023

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“…This research is the first of its kind that explores the moderating impact of geopolitical risk in an integrated framework of the COVID 19 uncertainty, oil prices, energy prices and renewable energy prices. The extant literature has failed to investigate the moderating impact of geopolitical risk on the pandemic uncertainty and its impact on renewable stock prices (Xie et al, 2021). Such exercises will help to broaden the scope of the policy implications on the path of recovery in the post-pandemic situation and reforms on investment in renewable energy stocks.…”

Section: Background Literaturementioning

confidence: 99%

COVID-19, clean energy stock market, interest rate, oil prices, volatility index, geopolitical risk nexus: evidence from quantile regression

Ghosh¹

2022

JED

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PurposeThe outbreak and the spreading of the COVID-19 pandemic has impacted the global financial sector, including the alternative clean and renewable energy sector This paper aims to assess the impact of the pandemic, COVID-19 on the stock market indices of the clean energy sector using quantile regression methods.Design/methodology/approachThis study utilized daily data sets on the four major categories of stocks: (1) Morgan Stanley Capital International Global Alternative Energy Index, (2) WilderHill Clean Energy Index, (3) Renewable Energy Industrial Index (RENIXX) and (4) the S&P 500 Global Clean Index. The study adopts a multifactor capital asset pricing model.FindingsThe clean and alternative energy stocks are significant instruments for diversification. However, the impact of the volatility index induced by infectious disease is negative and significant across quantiles.Practical implicationsFor investors and policymakers, considering how uncertainty caused by COVID-19 and geopolitical index influences renewable energy markets is of great practical importance. For investors, it throws insights on portfolio diversification. For policy makers, it helps to devise strategies to reboot the economy along the lines of deployment of renewables. This study sheds light on a global green-energy transition and has practical implications for renewable energy resilience in post-pandemic times.Originality/valueThis paper can be considered as a pioneer that explores the nexus between oil prices, interest rates, volatility index, geopolitical risk upon the stock indices of clean and alternative sources of (renewable) energy in the COVID-19 pandemic situation. The results have important insights in the area of energy and policy decision-making. Additionally, the novelty of the paper lies in the use of the explanatory variables, which is associated with the COVID-19 pandemic.

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“…The most discussed safe-haven assets in the extant literature include gold ( Baur and Lucey, 2010 ; Shahzad et al, 2020 ) and cryptocurrencies (D. G. Baur and Hoang, 2021 ; Dwita Mariana, Ekaputra and Husodo, 2021 ; Goodell and Goutte, 2020 ; Rubbaniy et al, 2021a , Rubbaniy et al, 2021b , Rubbaniy et al, 2021c ; Xie et al, 2021 ). Some existing studies ( Bodie and Rosansky, 1980 ; Conover et al, 2009 ; Daskalaki and Skiadopoulos, 2011 ; Daskalaki et al, 2017 ; Ji et al, 2020 ) support the view that equity investors can achieve diversification benefits by including commodities in their portfolios.…”

Section: Introductionmentioning

confidence: 99%

Safe-haven properties of soft commodities during times of Covid-19

Rubbaniy

Khalid

Syriopoulos

et al. 2022

Journal of Commodity Markets

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We use wavelet coherence analysis on global COVID-19 fear index and, soft commodities’ spot and futures prices to investigate safe-haven properties of soft commodities over the period from January 28, 2020 to April 29, 2021. Our findings show that each of the sampled soft commodities shows safe-haven behavior in one of the spot or futures markets and for one of the short-term or long-term investors during the times of COVID-19. Our results also show that safe-haven properties of soft commodities are contingent upon the nature of the commodity. The findings of our mean-variance portfolio analysis indicate that the portfolios with commodity futures are less risky and efficient compared to the portfolio containing stocks only, thus robustly supporting the safe-haven properties of soft commodities during COVID-19. Our results not only have important implications for individual investors and asset managers in suggesting particular soft commodities to strengthen safe-haven and diversification features of their portfolios but also can assist the policy makers to understand and disentangle health fear dimension of several interlocking dynamics affecting the spot and futures prices of soft commodities during COVID-19.

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Are Stablecoins Safe Havens for Traditional Cryptocurrencies? An Empirical Study during the COVID-19 Pandemic

Cited by 14 publications

References 13 publications

Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis

Persistence and volatility spillovers of Bitcoin to other leading cryptocurrencies: a BEKK-GARCH analysis

COVID-19, clean energy stock market, interest rate, oil prices, volatility index, geopolitical risk nexus: evidence from quantile regression

Safe-haven properties of soft commodities during times of Covid-19

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