期刊
ECONOMIC MODELLING
卷 95, 期 -, 页码 21-34出版社
ELSEVIER
DOI: 10.1016/j.econmod.2020.12.002
关键词
Cryptocurrencies; Stock markets; Quantile coherency
类别
资金
- National Natural Science Foundation of PRC [71971098]
- Guangdong Social Science Foundation in Finance [GD18JRZ07]
The study reveals that there is a significant and rarely negative correlation between cryptocurrencies and stock markets during the pandemic. Cryptocurrencies may not be a strong hedge or safe haven against stock markets, but can play a diversifying role in mitigating risks, especially in extreme situations.
The common consensus regarding weak correlations between cryptocurrencies and stock markets has recently been challenged by their synchronous downturn during the COVID-19 pandemic. We revisit their relationships at different quantiles and frequencies using a novel quantile coherency approach and a daily dataset of several largecapitalization cryptocurrencies and representative stock indices. Our results demonstrate that their dependence is significant in many cases but rarely negative, which indicates that cryptocurrencies fail to be a strong hedge or safe haven against stock markets. The significantly positive dependence suggests a diversifier role for cryptocurrencies and is stronger at extreme lower quantiles, which could raise public concern about risk contagion between the two in a recession. Ethereum is the most effective diversifier in the short term, whereas all of the cryptocurrencies in this study act as diversifiers over longer time scales. In addition, our hedging effectiveness analysis verifies the diversification benefits of cryptocurrencies for the stock indices in global, developed, emerging and US markets.
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