Publicação
New haven: an empirical qualification of bitcoin among flight-to-safety assets in the face of Covid-19 pandemic
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Rizzo, Antonino Emanuele | |
| dc.contributor.author | Kohlbach, Franz Albrecht | |
| dc.date.accessioned | 2022-02-24T16:33:24Z | |
| dc.date.available | 2022-02-24T16:33:24Z | |
| dc.date.issued | 2021-09-20 | |
| dc.date.submitted | 2021-09-05 | |
| dc.description.abstract | 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. | pt_PT |
| dc.identifier.tid | 202837556 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/133495 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Covid-19 | pt_PT |
| dc.subject | Bitcoin | pt_PT |
| dc.subject | Flight to safety | pt_PT |
| dc.subject | Safe haven | pt_PT |
| dc.title | New haven: an empirical qualification of bitcoin among flight-to-safety assets in the face of Covid-19 pandemic | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
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