Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk

Syuhada, Khreshna; Hakim, Arief Rachman; Suprijanto, Djoko; Muchtadi-Alamsyah, Intan; Arbi, Lukman Hanif

doi:10.1016/j.resourpol.2022.103111

Cited by 15 publications

(16 citation statements)

References 70 publications

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“…However, the conditional correlation between NSE and USDT is either weak or zero for both periods. This may occur due to the USDT peg to the US$ (Syuhada et al, 2022;Jana et al, 2023). Second, the obtained findings support empirical evidence for three theories for two separate periods.…”

Section: Resultssupporting

confidence: 76%

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Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

Jana,

Sahu

2023

JFEP

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Purpose This study aims to investigate the possibilities of cryptocurrencies as hedges and diversifiers in the Indian stock market before and during financial crisis due to the pandemic and the Russia–Ukraine war. Design/methodology/approach Researchers have used daily data on cryptocurrencies and Indian stock prices from March 10, 2015 to August 26, 2022. The researchers have used the dynamic conditional correlations (DCC)-GARCH model to determine the volatility spillover and dynamic correlation between stocks and digital currencies. Further, researchers have explored hedge ratio, portfolio weight and hedging effectiveness using the estimates of the DCC-GARCH model. Findings The findings indicate a negative conditional correlation between equities and cryptocurrencies before the crisis and a positive conditional correlation except for Tether during the crisis. Which implies that cryptocurrencies serve as a hedging asset in the stock market before a crisis but are not more than a diversifier during the crisis, except for Tether. Notably, Tether serves as a safe haven during times of crisis. Finally, the study suggests that Bitcoin, Ethereum, Binance Coin and Ripple are the most effective diversifiers for Indian stocks during the crisis. Originality/value This study makes several contributions to the existing literature. First, it compares the hedge and diversification roles of cryptocurrencies in the Indian stock market before and during crisis. Second, the study findings provide insights on risk hedging and can serve as a guide for investors. Third, it may help rational investors avoid underestimating risk while constructing portfolios, particularly in times of financial turmoil.

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Section: Resultssupporting

confidence: 76%

“…However, the conditional correlation between NSE and USDT is either weak or zero for both periods. This may occur due to the USDT peg to the US$ (Syuhada et al , 2022; Jana et al , 2023).…”

Section: Resultsmentioning

confidence: 99%

Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

Jana,

Sahu

2023

JFEP

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show abstract

“…Similarly, the authors in [32] found that US Treasury, cryptocurrencies, and gold are safe-haven assets under bearish or extreme volatility periods corresponding to the COVID-19 pandemic. Besides, Tether cryptocurrency is a safe haven for oil investors against extreme risk during the COVID-19 outbreak and allows reducing portfolio risk during the pandemic [33] . In addition, it was found that Bitcoin is a safe haven for investors during the COVID-19 pandemic [34] .…”

Section: Discussionmentioning

confidence: 99%

“…In contrary, it was found that during the COVID-19 pandemic, cryptocurrencies do not help in hedging the risk of stock markets [18] and do not offer diversification [22] . Besides, it was found that Tether is a safe haven for oil and Bitcoin mixed with any allocation [33] and that crude oil and gold makets are safe havens for Bitcoin market during the pandemic [34] .…”

Section: Discussionmentioning

confidence: 99%

“…Recall that studies in [18] , [21] , [22] , [23] , [33] , [34] used one to three cryptocurrencies. We believe that since our results are statistically robust due to the large number of cryptocurrencies considered in our study (for instance, 35 cryptocurrencies), our findingds are statistically significant and indicate that reduction in complexity in prices and volumes of cryptocurrencies during the pandemic increases the level of predictibility of cryptocurrencies during the pandemic.…”

Section: Discussionmentioning

confidence: 99%

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The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies

Lahmiri

2023

Decision Analytics Journal

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Spillover Connectedness Between Cryptocurrency and Energy Sector: An Empirical Investigation Under Asymmetric Exogenous Shocks of Health and Geopolitical Crisis and Uncertainties

Gherghina,

Armeanu,

Andrei

et al. 2024

J Knowl Econ

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Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk

Cited by 15 publications

References 70 publications

Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market

The effect of the COVID-19 pandemic on multifractals of price returns and trading volume variations of cryptocurrencies

Spillover Connectedness Between Cryptocurrency and Energy Sector: An Empirical Investigation Under Asymmetric Exogenous Shocks of Health and Geopolitical Crisis and Uncertainties

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