Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison |
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| Institution: | 1. Department of Accounting and Finance, FGV EAESP Sao Paulo School of Business Administration (Getulio Vargas Fundation), Rua Itapeva, 474, 8th Floor, Bela Vista, 01313-902 Sao Paulo, SP, Brazil;2. Department Technology and Data Science, FGV EAESP Sao Paulo School of Business Administration (Getulio Vargas Fundation), Rua Itapeva, 474, 9th Floor, Bela Vista, 01313-902 Sao Paulo, SP, Brazil;3. Department of Management, College of Business Administration, Box 19467, University of Texas at Arlington, Arlington, TX, 76019, United States |
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| Abstract: | 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. |
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| Keywords: | Market efficiency Safe haven Intraday data Bitcoin COVID-19 |
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