Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market
Sustainability
; 13(14):7672, 2021.
Article
in English
| MDPI | ID: covidwho-1308438
ABSTRACT
This paper examines interlinkages and hedging opportunities between nine major cryptocurrencies from 30 September 2015 to 4 June 2020, a period which notably includes the COVID-19 outbreak lasting from early 2020 to the end of the sample period. Estimated time-varying correlation coefficients that are based on a TVP-VAR show a high degree of interconnectedness among cryptocurrencies throughout the sample period. Notably, the correlations reach their joint minimum during the COVID-19 pandemic indicating that cryptocurrencies acted as a hedge or safe haven during the stressful period of the COVID-19 pandemic. The cryptocurrency weights of the minimum connectedness portfolio were significantly reduced and their hedging effectiveness varied greatly during the pandemic, implying that investors’ preferences changed during the COVID-19 period.
Full text:
Available
Collection:
Databases of international organizations
Database:
MDPI
Language:
English
Journal:
Sustainability
Year:
2021
Document Type:
Article
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