COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin

Is the effect of a health crisis symmetric for physical and digital financial assets? An assessment of gold and bitcoin during the pandemic

The emergence of the covid-19 health crisis, in this advanced technological era where connections between markets, nations, and economies have grown stronger than ever before, the shock of the COVID-19 pandemic quickly had an impact on both physical and digital financial assets. The Chinese financial market experienced the first consequences of the covid-19 pandemic, then spilled over to other financial markets, including those for cryptocurrencies and the precious metals. This study examines the impact of the covid-19 pandemic on the volatilities of the dynamics of bitcoin and gold. Both assets share some characteristics, such as online trading platforms, however, gold is a tangible financial asset unlike bitcoin, which is digitally generated without any physical form. This study argues that the similarities and differences between bitcoin and gold play major roles in how the covid-19 crisis affected their respective dynamics. Using daily data ranging from 9/22/2014 to 1/31/2023 and employing ARMA as the mean equation for GARCH model, the impact of the health crisis (covid-19) is examined on the volatilities of the prices and volumes of bitcoin and gold. Empirical evidence points out that, the pandemic has a symmetric impact on the volatilities of bitcoin and gold price returns, causing them to be more volatile. The impact of the covid-19 observed on the volume returns of the assets, however, is asymmetrical. The empirical results give evidence to the role that the vital differences existing between these assets played during the covid-19 pandemic.

Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic

The COVID-19 pandemic poses a serious threat to investors in the crude oil market. Furthermore, investors have an increasing need to find a safe haven in their investment portfolios when facing unprecedented risks in crude oil markets during the COVID-19 pandemic. According to a review of the literature, there are contradictory findings on which investment is the safer haven for the oil market. Therefore, this paper aims to evaluate whether bitcoin is a safer haven for the crude oil market than the commonly used gold during the COVID-19 pandemic. Three spillover measurements based on the time, and frequency domains, and a network framework are employed to quantify the return spillover effects among bitcoin, gold and three major crude oil futures markets. We divide the sample into two periods, pre-COVID-19 and post-COVID-19. The results show that bitcoin has a weak safe-haven effect on the crude oil market only over a short period, while gold maintains a good safe-haven ability for crude oil futures across various time horizons (frequencies), both before and after the outbreak of the COVID-19 pandemic. The findings of this study have important implications for policy-makers, crude oil producers and global investors. In particularly, investors cannot ignore the importance of bitcoin and gold in selecting more profitable portfolio policies when searching for safe-haven assets.

An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US, taking into account the role of stock markets. The first model is a direct impact model of COVID-19 on hotel stock prices; the analysis finds that infection speed negatively affects Japanese hotel stock prices and shows that the regime continues to switch to high volatility in prices due to COVID-19 until September 2021, unlike US stock prices. The second model is a hybrid model with COVID-19 and stock market impacts on the hotel stock prices, which can remove the market impacts on regime-switching volatility; this analysis demonstrates that COVID-19 negatively affects hotel stock prices regardless of whether they are in Japan or the US. We also observe a transition to a high-volatility regime in hotel stock prices due to COVID-19 until around summer 2021 in both Japan and the US. These results suggest that COVID-19 is likely to affect hotel stock prices in general, except for the influence of the stock market. Considering the market influence, COVID-19 directly and/or indirectly affects Japanese hotel stocks through the Japanese stock market, and US hotel stocks have limited impacts from COVID-19 owing to the offset between the influence on hotel stocks and no effect on the stock market. Based on the results, investors and portfolio managers should be aware that the impact of COVID-19 on hotel stock returns depends on the balance between the direct and indirect effects, and varies from country to country and region to region.

Dependences and risk spillover effects between Bitcoin, crude oil and other traditional financial markets during the COVID-19 outbreak

This study examines the relationship and risk spillover between Bitcoin, crude oil, and six traditional markets (the US stock, Chinese stock, gold, bond, currency, and real estate markets) from 2019 to 2020, during which the coronavirus disease 2019 (COVID-19) outbreak occurred as well. We first discuss the static relationship between Bitcoin and these markets using a quantile-on-quantile model and examine the dynamic relationship using a time-varying copula model. A conditional value-at-risk model is subsequently used to estimate the risk spillover between the markets studied. The empirical results reveal that the relationship between these markets is always time-varying, and the COVID-19 outbreak has revealed such changes in the relationship between Bitcoin and other traditional financial markets. The risk of all single markets has enhanced because of the pandemic. Further, the risk spillover of these markets has also changed dramatically since the COVID-19 outbreak during which the Bitcoin market has played an important role and exerted a significant impact on the crude oil market, and the four other markets (US stock, gold, Chinese stock, and real estate markets). Overall, our findings indicate that investors and policymakers need to be made aware of the risk spillover between Bitcoin, crude oil, and other traditional markets and that flexible hedge strategies and policies should be implemented in response to the challenges and economic recession observed following the COVID-19 outbreak.

Carbon emissions and sustainability in Covid-19's waves: evidence from a two-state dynamic Markov-switching regression (MSR) model

Throughout the world, carbon emissions have decreased in an unprecedented way as a result of the Covid-19 pandemic. The purpose of this paper is to investigate whether a rebound effect in carbon emissions is anticipated following the extraction of information related to the beliefs of investors. A suitable Markov switching model is used in this paper to adapt the safe haven financial methodology to an environmental sustainability perspective. Analytically, the aforementioned situation is modeled by estimating a two-state dynamic Markov-Switching Regression (MSR), with a state-dependent intercept term to capture the dynamics of the series, across unobserved regimes. In light of the results of the research and the robustness checks, investors are anticipating a rebound effect on the total quantity of carbon emissions.

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

This paper explores the asymmetric effect of COVID-19 pandemic news, as measured by the coronavirus indices (Panic, Hype, Fake News, Sentiment, Infodemic, and Media Coverage), on the cryptocurrency market. Using daily data from January 2020 to September 2021 and the exponential generalized autoregressive conditional heteroskedasticity model, the results revealed that both adverse and optimistic news had the same effect on Bitcoin returns, indicating fear of missing out behavior does not prevail. Furthermore, when the nonlinear autoregressive distributed lag model is estimated, both positive and negative shocks in pandemic indices promote Bitcoin's daily changes; thus, Bitcoin is resistant to the SARS-CoV-2 pandemic crisis and may serve as a hedge during market turmoil. The analysis of frequency domain causality supports a unidirectional causality running from the Coronavirus Fake News Index and Sentiment Index to Bitcoin returns, whereas daily fluctuations in the Bitcoin price Granger affect the Coronavirus Panic Index and the Hype Index. These findings may have significant policy implications for investors and governments because they highlight the importance of news during turbulent times. The empirical results indicate that pandemic news could significantly influence Bitcoin's price.

Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data

The spreading COVID-19 outbreak has wreaked havoc on the world's financial system that raises an urgent need for the re-evaluation of the gold as safe haven for their money because of the unprecedented challenges faced by markets during this period. Therefore, the current study investigates whether different asset class volatility indices affect desirability of gold as a safe-haven commodity during COVID-19 pandemic. Long run and the short run relationship of gold prices with gold price volatility, oil price volatility, silver price volatility and COVID-19 (measured by the number of deaths due to COVID) has been analyzed in the current study by applying ARDL Bound testing cointegration and non linear ARDL approach on daily time series data ranging from January 2020 to Dec 2021. Findings of the study suggest that in the long run, oil price volatility and gold price volatility positively affect the gold prices, whereas the effect of silver price volatility on gold prices is negative in the long run. However in the short run, all the three indices negatively impact the gold prices. In contrast, the impact of COVID-19 is positive both in the short run and in the long run that proves the validity of gold as safe haven asset in the time of the deadly pandemic. The findings of this study have significant implications and offer investors with some indications to hedge their investments by considering the gold's ability of safe haven during this era of pandemic.

Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk

Bitcoin is a new speculative investment with extremely volatile movement, thus possibly failing to act as a safe haven for crude oil when the price of this energy commodity plummeted following the global outbreak of COVID-19. Meanwhile, Tether is designed to behave similarly to the US dollar with stable fluctuation. In this study, we assessed their safe-haven properties in terms of risk reduction opportunities by proposing an improved version of Value-at-Risk (VaR) and Expected Shortfall (ES). Using vine copula-based AR-GJR-GARCH models, we demonstrated that Bitcoin exhibited inconsistent risk reduction capability for oil, particularly before COVID-19. When adding Tether into a portfolio containing oil and Bitcoin, the risk reduction was achieved for any portfolio allocation and was more pronounced amid the COVID-19 period. This suggests that Tether consistently served strong support for Bitcoin to protect oil investors against extreme risk and received a significant impact from the COVID-19 outbreak. However, the consistent safe-haven functionality of Tether was not as good as that of the US dollar in most cases, and this implied the vanishing of its stability. These results were robust when considering another asymmetric volatility model and another dependence model. Furthermore, the proposed improved VaR and ES forecasts outperformed their corresponding unimproved version in quantifying portfolio risk and therefore provided a more accurate assessment of safe-haven roles.

Dynamics of the sheltering role of Bitcoin against crude oil market crash with varying severity of the COVID-19: A comparison with gold

This paper studies evolution of the asymmetric sheltering role of Bitcoin compared to gold against oil-related uncertainties with varying severity of the COVID-19 pandemic. Using a varying-coefficient quantile approach, we find a safe haven role of Bitcoin, and it becomes gradually stronger when the pandemic intensifies. The relationship between gold and oil markets is shown to vary with changing severity of the pandemic. We find that gold acts as an increasingly weakened diversifier as the pandemic intensifies until a level, above which its diversification gains would dissipate then. In normal market conditions, both Bitcoin and gold perform as weak hedges for oil portfolios. Our findings demonstrate that interpretation of the sheltering role of Bitcoin and gold against oil market downturns would be biased unless the role dynamics in different market conditions and pandemic severity are considered. Additional analyses reassure robustness of our findings.

Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach

The COVID-19 pandemic has led to extensive news coverage, causing investor sentiment to swing, which has further increased financial market price volatility. There is an increasing need to find a hedge against sentiment risk. This paper examines the hedge capabilities of gold and Bitcoin against COVID-19-related news sentiment (CNS) risk under a nonlinear autoregressive distributed lag (NARDL) model. Our empirical results reveal that there is an obvious asymmetric effect from the CNS on gold prices in the short run and that the decrease in the COVID-19-related news index would have a greater impact on gold prices than when it increases. The impact of CNS on Bitcoin prices is asymmetric in the long and short term, especially in the long term. In addition, we conclude that gold is a hedge against CNS risk in the long term, and the hedging effect of Bitcoin is mainly reflected in the short-term.

Green stocks, crypto asset, crude oil and COVID19 pandemic: Application of rolling window multiple correlation

The COVID-19 pandemic disrupted almost all spares of global social, psychological, and economic life. The emergence of various variants and corresponding variations in daily infection asymmetrically influenced economic indicators. This study extends the existing literature by exploring the hedging potential of crude oil, carbon efficiency index of green firms, and bitcoin during this pandemic. This objective is realized by employing the recently advanced rolling window multiple correlation of Polanco-Martínez (2020). This approach is based on the new p-value corrected method, which has advantages over other correlation methods. The sample observations are based on daily data from 1/22/2020 to 12/20/2021. In the bivariate case, we find a significant positive correlation between COVID-19 and CEI, while a negative impact is observed between COVID-19 and WTI. Similarly, we observe a significant and nonlinear association between COVID-19 and BTC. However, our findings show positive and significant correlations among variables in the multivariate case. The overall findings show that CEI and BTC can be safe havens for investors during this worse pandemic. The study's robust findings can be used to derive important policy implications worldwide during the COVID-19 pandemic.

Impact of the COVID-19 pandemic on return and risk transmission between oil and precious metals: Evidence from DCC-GARCH model

It is frequently discussed in the literature that the correlation between low-correlation assets under ordinary market conditions may increase during crisis periods. To contribute to the ongoing debates, this paper empirically examines risk transmission between oil and precious metal markets induced by the COVID-19 pandemic using the DCC-GARCH model. The findings reveal evidence of a significant risk transmission between oil prices and precious metal prices, particularly during the onset of the COVID-19 pandemic. The findings point out that the negative relationship between oil and all precious metals returns in the pre-COVID-19 period has changed with the effect of the pandemic. In this process, it is revealed that the negative relationship between oil and gold has strengthened, but the negative relationship between oil and silver has weakened. In addition, the correlations between oil and platinum and palladium turn positive. The empirical findings imply that investors and portfolio managers seeking portfolio diversification and hedging opportunities in a high-risk environment such as the COVID-19 pandemic should consider gold and silver assets for investment.

Dynamic Linkage between Bitcoin and Traditional Financial Assets: A Comparative Analysis of Different Time Frequencies

This study employs the ADCC-GARCH approach to investigate the dynamic correlation between bitcoin and 14 major financial assets in different time-frequency dimensions over the period 2013-2021, for which the risk diversification, hedging and safe-haven properties of bitcoin for those traditional assets are further examined. The results show that, first, bitcoin is positively linked to risk assets, including stock, bond and commodity, and negatively linked to the U.S. dollar, which is a safe-haven asset, so bitcoin is closer in nature to a risk asset than a safe-haven asset. Second, the high short-term volatility and speculative nature of the bitcoin market makes its long-term correlation with other assets stronger than the short-term. Third, the positive linkage between the prices of bitcoin and risk assets increases sharply under extreme shocks (e.g., the outbreak of COVID-19 in early 2020). Fourth, bitcoin can hedge against the U.S. dollar, and in the long term, bitcoin can hedge against the Chinese stock market and act as a safe haven for the U.S. stock market and crude oil. However, for most other traditional assets, bitcoin is only an effective diversifier.

Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets

This paper investigates (i) the return-volatility spillover between Bitcoin, Ethereum, Ripple, and Litecoin, (ii) the interdependence between cryptocurrencies' volatility and the US equity and bond markets' volatility, and (iii) the impact of the Covid-19 outbreak on the cryptocurrencies' return-volatility. A two-step estimation approach is considered where Univariate General Autoregressive Conditional Heteroskedastic models are estimated to model the volatility of the four cryptocurrencies then a Simultaneous Equation Model is estimated to model the interconnection between the cryptocurrency volatilities, the US equity and bond markets' volatility, and Covid-19 outbreak. We show that return-volatility spillovers exist among Bitcoin, Ethereum, and Litecoin while Ripple is the main transmitter of shocks. We find that the cryptocurrency market is detached from the US stock market but not from the US bond market. Finally, we show that a high economic and financial uncertainty in the US stock market due to pandemic outbreaks affects the price of Litecoin, Bitcoin, and Ethereum. However, shocks are short-lived. Our findings have practical implications; as the evidence of volatility spillovers among cryptocurrencies and their relative isolation from the majority of mainstream assets should be factored into the valuation and portfolio diversification strategies of investors. In crisis times such as those induced by Covid-19, investors who seek protection from downward movements in bond markets could benefit from taking a position in Ethereum. Policymakers can also rely on our findings to time their intervention to stabilize markets and control uncertainties inherent to stressful periods.

Impact of COVID-19 on electricity energy consumption: A quantitative analysis on electricity

In addition to the tremendous loss of life due to coronavirus disease 2019 (COVID-19), the pandemic created challenges for the energy system, as strict confinement measures such as lockdown and social distancing compelled by governments worldwide resulted in a significant reduction in energy demand. In this study, a novel, quantitative and uncomplex method for estimating the energy consumption loss due to the pandemic, which was derived from epidemiological data in the beginning stages, is provided; the method bonds a data-driven prediction (LSTM network) of energy consumption due to COVID-19 to an econometric model (ARDL) so that the long- and short-term impact can be synthesized with adequate statistical validation. The results show that energy loss is statistically correlated with the time-changing effective reproductive number (R_t) of the disease, which can be viewed as quantifying confinement intensity and the severity of the earlier stages of the pandemic. We detected a 1.62% decrease in electricity consumption loss caused by each percent decrease in R_t on average. We verify our method by applying it to Germany and 5 U.S. states with various social features and discuss implications and universality. Our results bridge the knowledge gap between key energy and epidemiological parameters and provide policymakers with a more precise estimate of the pandemic’s impact on electricity demand so that strategies can be formulated to minimize losses caused by similar crises.

Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19

Against the backdrop of the COVID-19 pandemic, the study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We employ the cross-quantilogram approach to understand better the dynamic relationship between two assets under different market conditions. Our full sample results reveal that the green bond index could serve as a diversifier asset for medium- and long-term equity investors. Besides, it can serve as a hedging and safe-haven instrument for currency and commodity investments. Moreover, the sub-sample analysis of the pandemic period shows a heightened short- and medium-term lead-lag association between the green bond index and conventional investment returns. However, the green bond index emerges as a significant hedging and safe-haven asset for long-term investors of conventional financial assets. Our findings offer valuable insights for long-term investors when their portfolios are comprised of conventional assets such as equities, commodities, forex, and fixed income securities. Further, our findings reveal the potential role of green bond investments in global financial recovery efforts without compromising the low-carbon transition targets.

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

This paper examines the diversification role of socially responsible investments (SRI) during the COVID-19 pandemic. To assess the contribution to risk diversification and improved financial performance of SRI we analyze the effect of including clean energy equities in portfolios of conventional equities and other assets commonly considered as safe havens. We construct minimum variance portfolios for different rebalancing frequencies and by considering or restricting short positions. Two approaches are applied: AR-GARCH models to fit the marginal distributions of individual assets and DCC skew Student copula specifications to model the conditional dependencies among pairs via the Kendall's tau correlation measure. We provide evidence of the important role that SRI have played in diversifying and improving the financial performance of portfolios based on different securities such as traditional equities, Treasury bonds, gold, crude oil and Bitcoin.

Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis

This paper uses time-frequency analysis, including wavelet analysis and time-frequency domain causality, to evaluate the relationship between public attention to the COVID-19 pandemic, crude oil, and gold markets in the G7 countries over time and frequency. Empirical findings show that WTI oil lead gold returns during the COVID-19 outbreak, and vice versa when Omicron spread. The relationship between public attention to the COVID-19 and WTI oil/gold markets appears to be heterogeneous for G7 countries. European public attention caused by the COVID-19 outbreak has a strong impact on gold returns at the 32-64 day frequency, while public attention generated by Omicron has a significant effect on WTI oil returns at 4-128 day frequency. The public in the US and Canada is more concerned about the global stock and WTI oil markets slump than the COVID-19 pandemic. The Italian public seems to be the most sensitive to the EU's economic support plan. The heterogeneity of the public attention-oil/gold nexus in the G7 implies that portfolio diversification across markets and investment horizons may be extremely beneficial.

A multiscale integrated analysis of the COVID-19 restrictions: The energy metabolism of UK and the related socio-economic changes

The COVID-19 pandemic and the related lockdown restrictions have imposed a wide range of impacts that need to be analysed based on the specific characteristics of countries. By comparing socio-economic and energy data for the four quarters of 2020 to the same period of 2019, the MuSIASEM approach is used, for the first time, to investigate the energy metabolism of UK during a period of economic downturn. Results show that the commercial and the public administration activities have been able to achieve energy efficiency increases, and the residential sector has accounted for energy-related economies of scale. The industrial and the other activity sectors, on the contrary, have raised the energy intensity of production. Comparted to time series data, scenarios, and modelling exercises, the MuSIASEM approach integrates a wide range of intensive and extensive variables across different scales of analysis and investigate how specific socio-economic and energy structures have reacted to the COVID-19 crisis. The methodology can be easily replicated for other case studies and results can support the design of recovery and sustainable transition strategies.

On the relationship between Bitcoin and other assets during the outbreak of coronavirus: Evidence from fractional cointegration analysis

This article tries to investigate the connectedness between Bitcoin and Crude Oil, S&P500 and Natural Gas with the health crisis. That is why one might apply fractional cointegration analysis on daily data over the period 01/09/2019-30/04/2020. Our results indicate the presence of fractional integration in residual series, implying the existence of a fractional cointegration relationship. A short-run joint dynamics between Bitcoin and some other assets (Crude Oil, S&P500 and Natural Gas) is nevertheless well-pronounced. Such analysis of the long and short-term dependencies between different assets could be interesting from a portfolio perspective.

Degree and structure of return dependence among commodities, energy stocks and international equity markets during the post-COVID-19 period

This paper examines the safe-haven role of copper, iron, gold, silver, and energy stocks for international equity markets during the COVID-19 pandemic. Specifically, the degree and structure of return dependence at different points of conditional return distributions are examined for the pre-COVID and post-COVID periods. The results show that copper is a weak safe-haven for the US equity market at the upper-tail of conditional distribution of cooper returns during the post-COVID period. Gold loses its hedge status during the post-COVID period while silver is a strong safe-haven against international equity markets at the upper-tail of conditional return distribution of silver. Further, iron pose weak safe-haven properties against international equity markets when iron returns are extremely positive. However, neither conventional nor green energy stocks act as safe-haven against international equity markets. Current results may provide guidance for risk management, portfolio management and policy decisions during the post-COVID-19 period.

Oil price shocks and the term structure of the US yield curve: a time-frequency analysis of spillovers and risk transmission

This paper investigates the influence of oil demand, oil supply, and risk-driven shocks on the yield curve in the US between 1995 and 2020. The US term-structure shape is modeled by three structural factors, the level, slope, and curvature. Their empirical analysis is performed according to the Diebold-Li modified variant of the widely used Nelson-Siegel model. The technique of wavelet analysis allows investigating the interrelation of shocks in oil prices and the US yield curve along time and frequency domains, simultaneously. We report on low, medium, and high coherence zones, relative to the oil price movements and the changes in the three yield-curve factors. The low coherence intervals indicate the potential for the three latent factors to be used for creating diversification strategies capable of hedging adverse dynamics in the oil market, potentially workable through global crises. We document the variability of dynamic patterns observable for the US sovereign yield factors on per-type-of-shock basis, evidencing the potential role of the US sovereign debt investments for designing cross-asset hedge strategies for commodity and fixed-income markets.

Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets

The purpose of this study is to examine the effect of COVID-19 pandemic on gold, oil, conventional and Islamic stock markets. Two variables as the number of new COVID-19 cases and Infectious Disease Equity Market Volatility (IDEMV) Index developed by Baker, Bloom, Davis and Kost (2019) are used in order to discuss the effect of COVID-19 pandemic. Other variables used in the research are oil prices, gold prices and S&P Dow Jones Index values for conventional and Islamic stock markets. The data set used in the study is the daily data set between 31st December 2019 and 5th May 2020 for all variables. Time and frequency domain causality test is used in the study. According to the study results, there is a permanent causality in long term between stock markets, gold and oil prices and the number of COVID-19 cases. There is also a permanent causality in long term between IDEMV and gold and oil prices. However, in short term, there is a temporary causality between gold and oil prices and the number of COVID-19 cases. These results are highly important especially for policy performers and portfolio managers to determine the portfolio strategies.

Energy markets responds to Covid-19 pandemic

This paper aims to detect the sensitivity of the Oil market to different Covid-19 outbreak periods. To test its haven propriety, and its sensitivity to the study phase, our research investigates the Covid-19 indicators explanatory power. Using the OLS regression, our results reveal that new pandemic wave announcement declines the Oil market demand. It doubts its safe-haven property. In parallel, we detect that this market responds to the determining factors of the Covid-19 Pandemic. At this level, we found that the number of the reported cases has lost its explanatory power since the emergence of the second pandemic wave. On the contrary, mortality following this virus has become a significant explanatory factor.

Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19

In this paper, we use mutual information approach to investigate the information sharing between cryptocurrencies during the COVID-19 crisis. We also use the approximate entropy to study their dynamics before COVID-19 and during the pandemic. Results from the mutual information measure indicate a rise in information sharing and ordering in the cryptocurrency markets in the pandemic period, while the evidence from the approximate entropy estimates indicates a rise in randomness during the COVID-19 period. Our results provide new insights on the information sharing of cryptocurrencies and their reaction to shocks such as the COVID-19 pandemic.

Comparing gold's and Bitcoin's safe-haven roles against energy commodities during the COVID-19 outbreak: A vine copula approach

This paper aims to compare the safe-haven roles of gold and Bitcoin for energy commodities, including oils and petroleum, during COVID-19. Specifically, we examine the presence of reduction in downside risk after mixing gold/Bitcoin with such energy commodities. To do this, we account for dependence among energy commodities and gold/Bitcoin returns by applying a (vine) copula. The findings show that gold substantially reduces the downside risk of a portfolio containing any allocation to gold and energy commodities, indicating its safe-haven ability. In contrast, Bitcoin's safe-haven functionality is inconsistent since the downside risk reduction is achieved for Bitcoin's small allocation only.

Timing differences in the impact of Covid-19 on price volatility between assets

We empirically examine the impacts of Covid-19 on asset price volatilities by focusing on the timing. This paper has three contributions. First, we propose a new Covid-19 dependent regime-switching volatility model for the examination. Second, results show a shift to a higher price volatility regime from a lower one for financial assets and commodities after late February 2020 when Covid-19 spread all over the world, but the timing of the impacts varies from immediate timing for the S&P 500, the FTSE 100, the COMEX gold and silver futures to the delayed timing for the ICE Brent crude oil futures followed by the timing for the ICE UK natural gas futures. Third, we find the sensitivity of Covid-19 information to the regime switch differs between financial assets and precious metal ones which have the immediate impacts: the infection speed, i.e. the changes in the number of Covid-19 infected individuals, enhance the impacts on the tendency to a high price volatility regime for the S&P 500 and the FTSE 100; both the infection speed and the number of the deaths mitigate those impacts for the gold and silver futures, respectively during a turmoil period due to Covid-19, suggesting that the gold and silver markets are functioning as risk-hedging safety assets alternative to financial assets during Covid-19 turmoil.

Bitcoin: An inflation hedge but not a safe haven

During the recent COVID-19 pandemic, many commonalities shared by Bitcoin and gold raise the question of whether Bitcoin can hedge inflation or provide a safe haven as gold often does. By estimating a Vector Autoregression (VAR) model, we provide systematic evidence on the relationship among inflation, uncertainty, and Bitcoin and gold prices. Bitcoin appreciates against inflation (or inflation expectation) shocks, confirming its inflation-hedging property claimed by investors. However, unlike gold, Bitcoin prices decline in response to financial uncertainty shocks, rejecting the safe-haven quality. Interestingly, Bitcoin prices do not decrease after policy uncertainty shocks, partly consistent with the notion of Bitcoin's independence from government authorities. We also find an interesting asymmetry in the drivers of Bitcoin price dynamics between the bullish and bearish market. The main findings hold with or without the COVID-19 pandemic episode.

Gold or Bitcoin, which is the safe haven during the COVID-19 pandemic?

This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.

Bitcoin as a Safe Haven during COVID-19 Disease

In this paper, we investigate the role of Bitcoin as a safe haven against the stock market losses during the spread of COVID-19. The performed analysis was based on a regression model with dummy variables defined around some crucial dates of the pandemic and on the dynamic conditional correlations. To try to model the real dynamics of the markets, we studied the safe-haven properties of Bitcoin against thirteen of the major stock market indexes losses using daily data spanning from 1 July 2019 until 20 February 2021. A similar analysis was also performed for Ether. Results show that this pandemic impacts on the Bitcoin status as safe haven, but we are still far from being able to define Bitcoin as a safe haven.

COVID-19 and the volatility interlinkage between bitcoin and financial assets

We investigate the effects of COVID-19 on volatility connectedness between bitcoin and five traditional financial assets from the gold, oil, foreign exchange, stock, and bond markets, employing high-frequency data. The empirical analyses are carried out using the wavelet coherence approach and dynamic frequency-domain connectedness method. Our results generally indicate that the volatility dynamics between bitcoin and the financial assets are weak or negative before the pandemic while they become positive during the pandemic times for most of the assets. Further, the volatility connectedness for bitcoin-gold and bitcoin-foreign exchange pairs is most significant in the short term, while it is significant in the intermediate term for bitcoin-oil and bitcoin-equity pairs during the pandemic. We examine optimal portfolios to hedge Bitcoin shocks at multiple investment horizons during the pandemic. We find that most of these financial assets perform as a good hedger against Bitcoin shocks in the short and long term but not in the medium term.

Outliers and Time-Varying Jumps in the Cryptocurrency Markets

We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that only Bitcoin returns are contaminated with outliers. Time-varying jumps are present in Bitcoin, Litecoin, Ripple, and the cryptocurrency index. Notably, the presence of jumps in Bitcoin is significant after correcting for outliers. The main findings point to a price instability in some major cryptocurrencies and thereby the importance of accounting for large shocks and time-varying jumps in modelling volatility in the debatable cryptocurrency markets.

Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains

Many scholars have explored the COVID-19 impact on the crude oil, gold, and Bitcoin markets, whereas most have ignored the media coverage influence. This paper focuses on examining information spillover from epidemic-related news to the crude oil, gold, and Bitcoin markets with the time-frequency analysis method. The empirical results reveal that both the return and volatility spillovers from epidemic-related news to the crude oil, gold, and Bitcoin markets are stronger in the short term (less than 1 week). In the long term, only the media sentiment index notably impacts crude oil, gold, and Bitcoin market returns. The volatility spillover from media coverage to crude oil mainly occurs in the short term. Regarding the gold and Bitcoin markets, the long-term volatility spillovers are significant. An obvious risk contagion path is found. Media hype is the main risk transmitter and transmits vast shocks to these three markets, especially the Bitcoin market, which subsequently transmits these shocks to the gold market. Risk accumulates systemically in the gold and Bitcoin markets. These findings have crucial empirical implications for policymakers and investors when formulating related short- or long-term decisions during the pandemic.

Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak

This paper contributes to Covid-19 outbreak impacts literature. We investigate the connectedness between stock market and oil prices under bullish and bearish economic conditions and uncertainty level at different investment horizons. We applied the wavelet framework on daily dataset cover the pre-COVID-19 and COVID-19 period. We find that the linkage between the economic and financial pairs is characterized by significant changes over the time during the sample period, where the huge co-movements has been identified during the pandemic period at the low scale. We show that due to lockdown policy and oil price shock, the stock return decline, the aggregate business conditions reached its lowest level and the uncertainty increase. The result indicates that the COVID-19 outbreak negatively affects the economy and the financial markets and support the sensitivity, especially between oil-stock, and economic condition and uncertainty.

US biopharmaceutical companies' stock market reaction to the COVID-19 pandemic. Understanding the concept of the 'paradoxical spiral' from a sustainability perspective

In an uncertain and finite world, actions towards the development of a green economy are attracting wider support. The damaging anthropogenic impact on earth systems is leading humanity to devastating situations, jeopardizing its very survival. A new world scenario has emerged with COVID-19, where the biopharmaceutical sector has arisen as a powerful effective solution for the health, economic and social crisis derived from the pandemic. This research aims to study the stock market reaction of the two US biopharmaceutical companies that first developed messenger RNA vaccines against COVID-19 (Pfizer and Moderna), considering two time periods, before and during COVID. In the analysis, the influence of the technological market index, market volatility, and investor sentiment are also considered. The results show an unequal influence of market volatility and market sentiment on the returns of both companies, as well as a different volatility behaviour. Furthermore, a contagion effect is observed during the COVID period between both companies and the technological market. The study's findings provide investors, organizations, policy-makers and society with useful information for the design of policies and strategies that ultimately are called to ensure sustainable growth for future generations.

The impact of the COVID-19 pandemic on the energy market – A comparative relationship between oil and coal

The COVID-19 epidemic has severely affected the world economy and energy markets. In order to alleviate the shock, stabilize the financial market, and promote economic recovery, the Fed announced an unlimited QE policy. In order to understand the impact of the policy on the energy market under the extreme events, the study selected WTI crude oil and coal prices from January 1, 2018 to May 7, 2021 as the research objects. Taking the two years before the epidemic, the epidemic stage was further divided into four small stages according to the three peaks of the epidemic in the US. The MF-DCCA model calculations show that coal and WTI crude oil have an interactive relationship. The risks between them are not just averaged and superimposed, but transmitted and interacted.The MF-DFA model calculation results show that due to the disorder of energy supply and demand under the epidemic, market efficiency in the first quarter of 2020 has dropped rapidly. However, market efficiency decoupled from the development of the epidemic in the second half of 2020. Especially after the announcement of the QE policy, market efficiency has improved significantly. However, under the excessive monetary policy, market efficiency declined in the first half of 2021. This shows that the policy has a certain effect on alleviating the impact of the epidemic on the energy market. But this improvement is not sustainable from the long term. As prices rise, inflation continues. In the future, the volatility and risk of the energy futures market will increase.

Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?

The recent COVID-19 pandemic intensification generates a different set of challenges for global financial markets and portfolio management strategies. This paper uses network analysis to investigate the static and dynamic dependence within Islamic and conventional equity sectors. The study focuses on the decoupling hypothesis and how the dependence among sectors changes during COVID19. Empirical findings indicate a higher degree of spillover during the COVID19 sub-period. Islamic and conventional equities behave differently in terms of industry-level dependence during normal and crisis times, thus decoupling. Further, the dependence effect between conventional equity returns is stronger than Islamic equity returns during the COVID-19 pandemic. The finding of this paper has several significant implications for portfolio selection and risk management. Portfolios consisting of Islamic equity sectors including industrials, basic materials, consumer services, and technologies highlight low-diversification benefits across the entire sample period. Also, investment exposure to less connected Islamic and conventional equity sectors provides a good diversification strategy.

Companies’ Stock Market Performance in the Time of COVID-19: Alternative Energy vs. Main Stock Market Sectors

The paper aims to detect the differences in stock market performance between companies from the alternative energy sector and main stock market sectors in the first and second years of the COVID-19 pandemic. We used Global Industry Classification Standard to analyse eleven main stock market sectors and the alternative energy sector. Based on the one-factor variance analysis—ANOVA, we reveal the statistically significant differences between the analysed stock market sectors in both 2020 and 2021. The analysis implied that the performance of stock market companies during COVID-19 is sector-specific. Tukey’s Honestly Significant Difference (HSD) test for pairwise comparison indicates that the alternative energy sector shows the most differentiation. Its average rate of return in 2020 is the highest and is significantly different for all eleven stock market sectors, while the top constituents from the conventional energy and financial sectors suffered the most. In 2021, a reverse trend in the stock prices can be observed. Companies from the conventional energy and financial sectors achieved the highest positive average weekly rates of return among all of the analysed stock market sectors, while the alternative energy sector performed significantly worse than the other sectors did. Nevertheless, throughout the entire analyses period of 2020–2021, the companies from the alternative energy sector turned out to be the biggest stock market beneficiaries. This study might imply that the COVID-19 pandemic has not hampered but has instead accelerated growing concerns about the environment and climate change.

Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models

This study examined how the relationships among the fossil fuel, clean energy stock, gold, and Bitcoin markets have changed since the COVID-19 pandemic took place for hedging the price change risks in the fossil fuel markets. We applied the Bayesian Dynamic Conditional Correlation-Multivariate GARCH (DCC-MGARCH) models using US daily data from 2 January 2019 to 26 February 2021. Our results suggest that the fossil fuel (WTI crude oil and natural gas) and financial markets (clean energy stock, gold, and Bitcoin) generally had negative relationships in 2019 before the pandemic prevailed, but they became positive for a while in mid-2020, alternating between positive (0.8) and negative values (−0.8). As it is known that negative relationships are required among assets to hedge the risk of price changes, this implies that stakeholders need to be cautious in hedging the risk across the fossil fuel and financial markets when a crisis like COVID-19 occurs. However, our study also revealed that such negative relationships only lasted for three to six months, suggesting that the effects of the pandemic were short term and that stakeholders in the fossil fuel markets could cross hedge with the financial markets in the long term.

Contagion and portfolio management in times of COVID-19

This paper aims to investigate the COVID-19 pandemic impacts on the interconnectedness between the Chinese stock market and major financial and commodity markets-gold, silver, Bitcoin, WTI, S&P 500, and Euro STOXX 50-and analyze the portfolio design implications. Using daily data from 2018 to 2021, we first apply the wavelet power spectrum (WPS) to visualize volatility shifts. In contrast to previous research, we empirically identify the precise COVID-19 outbreak dates for each market using the Perron (1997) breakpoint test. Finally, we employ the bivariate DCC-GARCH model to analyze the connectedness between markets. The findings reveal that the COVID-19 pandemic caused volatility shifts of different intensities for all of the studied markets. Moreover, each return series exhibits one break date, which is specific to each market and corresponds to a distinct COVID-19-related event. Correlations, hedge ratios, and optimal portfolio weights changed significantly after the COVID-19 outbreak. There is evidence of contagion effects between the Chinese stock market and S&P 500, Euro STOXX 50, gold, and silver. Interestingly, the latter two assets lost their safe haven property with SSE. However, WTI and Bitcoin act as safe havens against SSE risks.

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

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.

Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19

COVID-19 is the first global scale crisis since the inception of Bitcoin. We compare the contagion phenomenon of Bitcoin and other financial markets or assets pre and during the COVID-19 shock in both contemporaneous and non-contemporaneous manner. This paper uses the directed acyclic graph (DAG), spillover index, and network topology to provide strong evidence on the directional contagion outcomes of Bitcoin and other assets. The empirical results show that the contagion effect between Bitcoin and developed markets is strengthened during the COVID-19 crisis. Particularly, European market has a dominant role. Excluding Bitcoin's own shocks, United State and European markets are the main contagion sources to Bitcoin. European market also works as a intermediary to deliver infectious from United State and market fear. The findings show that gold always has contagion effect with Bitcoin, while gold, US dollar and bond market are the contagion receivers of Bitcoin under the shock of COVID-19. The empirical results further proved the safe haven, hedge and diversifier potential of Bitcoin in economic stable time, but also shows that the sustainability of these properties is undermined during the market turmoil.

The effect of green energy, global environmental indexes, and stock markets in predicting oil price crashes: Evidence from explainable machine learning

This study aims to predict oil prices during the 2019 novel coronavirus (COVID-19) pandemic by looking into green energy resources, global environmental indexes (ESG), and stock markets. The study employs advanced machine learning, such as the LightGBM, CatBoost, XGBoost, Random Forest (RF), and neural network models. An accurate forecasting framework can effectively capture the trend of the changes in oil prices and reduce the impact of the COVID-19 pandemic on such prices. Additionally, a large dataset with different asset classes was used to investigate the crash period. The research also introduced SHapely Additive exPlanations (SHAP) values for model analysis and interpretability. The empirical results indicate the superiority of the RF and LightGBM over traditional models. Moreover, this new framework provides favorable explanations of the model performance using the efficient SHAP algorithm. It also highlights the core features of predicting oil prices. The study found that high values of GER and ESG lead to lower crude oil prices. Our results are crucial for investors and policymakers in promoting climate change mitigation and sustained economic prosperity through green energy resources.

How COVID-19 has affected stock market persistence? Evidence from the G7's

This paper examines how COVID-19 pandemic has affected volatility persistence in the G7's stock markets. Based on daily data we divided the whole sample into two sub-samples according to its breakpoints and found that they occurred right after the declaration of COVID-19 pandemic by the World Health Organization - WHO (2020). This approach allows us to assess the main differences between these two distinct phases. Thus, while the first sub-period is relatively calm, the second one, which coincides with the pandemic outbreak, shows higher levels of volatility. Considering this, we rely on GARCH-type models to assess the degree of persistence of volatility and to evaluate how it has evolved across sub-samples. Our results show that the FIGARCH(1,d,1) is the best model to describe the data and that the degree of persistence is very different from the first to the second sub-sample. Thus, while the pre-pandemic period exhibits lower levels of persistence it has greatly increased with the COVID-19 outbreak. In particular, S&P 500 and FTSE/MIB became the most persistent indices in contrast to NIKKEI 225 and FTSE 100, which were amongst the least persistent.

Escape from COVID-19 pandemic to safe haven

Gold, which is accepted as a safe haven by households, is known as an investment tool that is preferred especially in times of crisis and uncertainty. Especially in recent days, the uncertainty caused by the COVID-19 pandemic and the visible increase in Turkey's 5-year CDS data has led investors in Turkey to grams of gold, which is considered a safe haven. In this context, this study aims to test the long-term relationship between daily case-related deaths and Turkey's 5-year CDS data with gram gold prices in Turkish lira during the COVID-19 pandemic. The long-term relationship between the variables was tested with the autoregressive distributed lag bound test (ARDL bound test) applied to the daily data for the period March 17, 2020-April 11, 2020. For the application of ARDL bound test, the stationarity of the variables was tested with unit root tests such as augmented Dickey-Fuller test (ADF) and Phillips-Perron (PP). According to the ARDL bound test findings, there is a statistically significant and positive relationship between the number of case-related deaths and the gram gold prices in Turkish lira in the long run. However, it has been found that Turkey's 5-year CDS data does not have a significant long-term relationship with gram gold prices in Turkish lira.

The COVID-19 shocks on the stock markets of oil exploration and production enterprises

Using daily data from January 1, 2020 to March 31, 2021, this research explores COVID-19 shocks on the stock market of 15 representative oil exploration and production enterprises from 7 countries. We measure the COVID-19 epidemic from two levels, government response stringency index and number of confirmed cases, and employ stock prices and stock market returns to reflect the stock market. Our research results confirm that both the government response stringency index and the number of confirmed cases have a significantly negative influence on stock prices. We further find that the negative reaction of the stock market to the government response stringency index is greater than that from confirmed cases. Finally, we conclude that the government response stringency index have a significantly positive effect on stock market returns of oil exploration and production enterprises. Similar findings arise from analyzing specific enterprises. Overall, our conclusions provide some useful information for the decision-making of oil exploration and production enterprises’ investors and policy makers.

Hedge and safe haven properties during COVID-19: Evidence from Bitcoin and gold

The COVID-19 pandemic has caused an unprecedented human and health crisis. The measures taken to contain the damage caused a global economic slowdown. Investors face liquidity pressures resulting from the general downturn in the financial markets, and might change their risk appetite. This paper reassesses the safe haven property of gold as a traditional asset, and Bitcoin which is gradually imposing itself as a new class of asset with unique characteristics. The empirical results, applied on major world stock market indices and currencies, and based on the multivariate asymmetric dynamic conditional correlation model, show the effectiveness of Bitcoin and gold as hedging assets in reducing the risk of international portfolios. Moreover, the analysis provides evidence that during the COVID-19 pandemic, gold is a weak safe haven for the considered assets, while Bitcoin cannot provide shelter due to its increased variability.

The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels

We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic pandemic such as Covid-19. We document differences in the observed patterns per commodity category and evidence their potential role for designing cross-assets hedge strategies based on investments in commodities.

The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels

We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic pandemic such as Covid-19. We document differences in the observed patterns per commodity category and evidence their potential role for designing cross-assets hedge strategies based on investments in commodities.

Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach

The novel coronavirus (COVID-19) has tremendously oscillated the global financial markets. Consequently, investors feel pressured to find safe-haven investments during the pandemic crisis. Numerous studies have evaluated bitcoin's safe-haven properties during the COVID-19; however, the present study considered gold as a potential safe-haven for investors of renowned stock markets of Asia, Europe, and the US. The present investigation computed the ratio of gold to bitcoin (Gold_Bitcoin) and compared the safe-haven properties of gold in contrast to bitcoin. The present study analysed the Morlet Wavelet approach and found that most of the time during the COVID-19, gold investments proved to be more beneficial than bitcoin. Remarkably, the findings highlighted that the Gold_Bitcoin ratio increased in higher and lower frequencies combined with CAC40. In the long run, the return on investments in gold increased in contrast to bitcoin returns pooled with DAX30. Also, the Gold_Bitcoin ratio of the US stock market increased during the one-week and one-month cycles of January and August. Likewise, the Hang Seng Index caused the Gold_Bitcoin ratio to rise at a much higher frequency (i.e., the second half of January, the first half of February and April, and the first half of June and August), whereas IBEX35 surged Gold_Bitcoin at a lower frequency (i.e., during January, February, and August). In higher frequency bands, LSE increased the Gold_Bitcoin ratio (i.e., in February and March); nevertheless, Gold_Bitcoin showed a positive connection with FTSEMIB in the one-to-two month's frequency band (i.e., throughout January, February, and August). Interestingly, the returns on the Gold_Bitcoin ratio increased in the SSEC stock market in the high-frequency band (i.e., during March, May, and July 2020).