When Bitcoin has the flu : on Bitcoin's performance to hedge equity risk in the early wake of the COVID-19 outbreak
Grobys, Klaus (2020-06-26)
Grobys, Klaus
Taylor & Francis
26.06.2020
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2020120999951
https://urn.fi/URN:NBN:fi-fe2020120999951
Kuvaus
vertaisarvioitu
© 2020 Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 26 Jun 2020, available online: http://www.tandfonline.com/10.1080/13504851.2020.1784380.
© 2020 Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 26 Jun 2020, available online: http://www.tandfonline.com/10.1080/13504851.2020.1784380.
Tiivistelmä
Using the coronavirus COVID-19 outbreak as a set-up for a quasi-experiment, this study derives novel insights on the dynamic correlation between Bitcoin and US stocks. Given the unprecedented scale of infections and the nature of the virus, the potential impact on the dynamic correlation was unpredictable and therefore uncertain. Using a difference-in-differences setting, the dynamic correlation between Bitcoin and stocks is controlled for the dynamic correlation between gold and stocks. This study finds that Bitcoin performed poorly in hedging this tail risk.
Kokoelmat
- Artikkelit [3030]