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New haven: an empirical qualification of bitcoin among flight-to-safety assets in the face of Covid-19 pandemic
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This paper uses the Covid-19crisisto assess whether crypto currencies show “safe haven” properties or not. By analyzing the CBOE-Volatility-Index I derive the breaking-point of the crisis to be the 18th-March-2020. I present evidence that Bitcoin, as cryptocurrencies’ main representative, fails to act as a “safe haven”, throughout a set of correlation and regression analysis. Moreover, I find that also traditional “safe haven” assets do not meet expectations. I present a possible cause, with the presence of strong financial contagion rooted in the novelty of the crisis. Asness’ Quality-Minus-Junk is the only asset that showed negative correlation with the market during the financial turmoil.
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Covid-19 Bitcoin Flight to safety Safe haven