Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison

[Display omitted] As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI...

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Bibliographic Details
Published in:Research in international business and finance 2021-12, Vol.58, p.101472, Article 101472
Main Authors: Diniz-Maganini, Natalia, Diniz, Eduardo H., Rasheed, Abdul A.
Format: Article
Language:English
Subjects:
Bitcoin
COVID-19
Intraday data
Market efficiency
Safe haven
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Summary:[Display omitted] As the COVID-19 outbreak became a global pandemic, traditional financial market indicators were significantly affected. We examine the price efficiency and net cross-correlations among Bitcoin, gold, a US dollar index, and the Morgan Stanley Capital International World Index (MSCI World) during the four months after the World Health Organization officially designated COVID-19 as a global pandemic. Using intraday data, we find that Bitcoin prices were more efficient than the US dollar and MSCI World indices. Using a detrended partial-cross-correlation analysis, our results show that net cross-correlations vary across time scales. Our results suggest that when the time scale is greater than two months, gold can be considered as a safe haven for investors holding the MSCI World and US dollar indices and when the time scale exceeds three months, Bitcoin can be considered a safe haven for the MSCI World index.
ISSN:0275-5319
1878-3384
1878-3384
DOI:10.1016/j.ribaf.2021.101472