Can cryptocurrencies be a safe haven during the novel COVID-19 pandemic? Evidence from the Tunisian Stock Market

Jeribi, Ahmed; Manzli, Yasmine Snene

doi:10.30585/jrems.v3i1.555

Cited by 30 publications

(19 citation statements)

References 19 publications

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“…This result is therefore aligned with that of Baur and Lucey ( 2010 ), who suggested that gold acts as a safe-haven in extreme stock market conditions, In fact, Baur and McDermott ( 2010 ) confirmed the safe-haven property of gold for the US and big stock markets in Europe, and more recently Ji et al ( 2020 ), who indicated that gold has remained robust (strong) as a safe-haven asset during the COVID-19 pandemic. However, this result contradicts that of Jeribi and Snene-Manzli ( 2021 ), who indicated that gold was neither hedge nor a safe haven for the Tunisian investors during the COVID-19 outbreak. It also contradicts the results of Shahzad et al ( 2019 ) who found that gold is a weak safe haven and Cheema et al ( 2020 ) who found that gold fails to protect the investors’ wealth during the COVID-19 pandemic.…”

Section: Estimation Resultscontrasting

confidence: 76%

“…In their study, they concluded that the stock market is highly unpredictable and volatile due to the instability and economic damages caused by this pandemic. Moreover, Jeribi & Snene-Manzli ( 2021 ), Baig et al ( 2020 ), Al-Awadhi et al ( 2020 ), Jeribi et al ( 2020 ), and Bader ( 2020 ) stated that the growing number of confirmed COVID-19 cases and deaths has a negative impact on stock markets.…”

Section: Introductionmentioning

confidence: 99%

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Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets

2022

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Using the NARDL model for the period of pandemic COVID19, we examined the asymmetric relationship between six crypto-currencies (Bitcoin, Litecoin, Bitcoin gold, Dash, Maker, and Ehereum) and seven stock market prices (S&P500, CAC40, DAX30, NIKKEI, FTSE, FTSEMIB, and SPTSX) accounting for the effects of Gold and WTI prices. In the long run, our results revealed, in most cases, a positive asymmetric relationship between digital and financial assets, suggesting a weak safe haven role for crypto-currencies. The oil price (WTI) was also found to act as a diversifier. However, for, the results revealed, in most cases, a negative asymmetric relationship between the yellow metal and the different stock prices, suggesting that gold can act as a good hedging instrument or a safe haven against stock prices in the long run. On the other hand, in the short run, the results indicate that only Bitcoin, Litecoin, and Maker have an asymmetric effect on the chosen stock prices but the effect is positive in most cases. Moreover, gold can act as a hedge/safe-haven asset in the short run. Finally, while examining the dynamic response of stock prices to the negative and positive shocks of crypto-currencies, we concluded that the majority of stock prices respond more to the negative shocks of crypto-currencies than to the positive ones.

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Section: Estimation Resultscontrasting

confidence: 76%

Section: Introductionmentioning

confidence: 99%

Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets

2022

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“…Similarly, Akrofi and Antwi (2020) studied the African energy sector and found a considerable downturn after the COVID-19 pandemic. Furthermore, Jeribi and Manzli (2021) analyzed the post-COVID-19 behavior of the Tunisian stock market and found a strong relationship between the number of confirmed cases (and deaths), and stock market performance. In essence, the referred as volatility, which is an essential component for the smooth functioning of the market, especially from an investor's perspective.…”

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

Saleem

Bárczi

Sági

2021

JRFM

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The aftermath of the COVID-19 pandemic is not limited to human lives and health sectors. It has also changed social and economic aspects of the world. This study investigated the Islamic stock market’s reaction and changes in volatility before and during this pandemic. The market model of event study methodology was employed to analyze Islamic stock market reactions in nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized autoregressive conditional heteroscedasticity (GARCH) method was used. Nine Islamic stock indices were selected for this study from the Thomson Reuters data stream. The results suggest that, in the short run, the Islamic Australian stock index and Islamic GCC stock index remained stable for the first 15 days following news of the pandemic. The Islamic stock indexes of Qatar, UAE, ASEAN, MENA, MENASA, and Bahrain were significantly affected by the outbreak in the short-term. On the other hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by the WHO. Moreover, volatility shocks tended to persist for a longer period after COVID-19.

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“…A study of the safe-haven properties of global equities against commodities (gold and crude oil) and cryptocurrency (Bitcoin) by Disli et al (2021) found that gold, oil and Bitcoin do not exhibit safe-haven characteristics. Jeribi and Snene Manzli (2020) studied Bitcoin against Tunisian stock market indices and found that Bitcoin acted as hedge and Ethereum as a diversifier before the COVID-19 outbreak. However, during the covid-19 period neither acted as a diversifier or hedge.…”

Section: Literature Reviewmentioning

confidence: 99%

Price efficiency and safe-haven property of Bitcoin in relation to stocks in the pandemic era

Diniz-Maganini

Rasheed

2021

SEF

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Purpose When investors experience extreme uncertainty, they seek “safe havens” to reduce their risk, to limit their losses and to protect the value of their portfolios. The purpose of this paper is to examine the safe-haven properties of Bitcoin compared to the stock market. Design/methodology/approach Based on intraday data, this study compares the price efficiencies of Bitcoin and Morgan Stanley Capital Index (MSCI) using Multifractal Detrended Fluctuation Analysis for the second half of 2020. This study then evaluates Bitcoin’s safe-haven property using Detrended Partial-Cross-Correlation Analysis (DPCCA). Findings This study finds that the price efficiency of Bitcoin is lower than that of MSCI. Further, Bitcoin was not a safe haven at any time for the MSCI index. The net cross-correlations between Bitcoin and MSCI are weak and they vary at different time scales. Research limitations/implications The behavior of market prices varies over time. Therefore, it is important to replicate this study for other time periods. Social implications The paper sheds light on the price behavior of Bitcoin during a period of instability. The results suggest that the construction of portfolios should differ based on the time horizons of the investors. Originality/value The authors compare Bitcoin against a global equity index instead of a specific country index or commodity. They also demonstrate the applicability of DPCCA in finance research.

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Can cryptocurrencies be a safe haven during the novel COVID-19 pandemic? Evidence from the Tunisian Stock Market

Cited by 30 publications

References 19 publications

Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets

Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets

COVID-19 and Islamic Stock Index: Evidence of Market Behavior and Volatility Persistence

Price efficiency and safe-haven property of Bitcoin in relation to stocks in the pandemic era

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