Has Covid-19 Changed the Hedge Effectiveness of Bitcoin
Bibliographic Data
| ID | 22076338 |
|---|---|
| Authors | Elaine P Maimon (corresponding author), Yinpeng Zhang (0000-0003-2826-6049), Panpan Zhu (0000-0003-3877-766X), Yingying Xu (0000-0001-8488-0399) |
| Year | 2021 |
| Volume | 9 |
| Issue | 3 |
| Pages | 26-31 |
| Publication date | 2021-07-27 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Frontiers in Public Health (JOURNAL) |
| Journal identifiers | ISSN: 2296-2565 • E-ISSN: 2296-2565 |
| Publisher | Frontiers Media SA (PUBLISHER • CH) |
| DOI | 10.3389/fpubh.2021.704900 |
| OpenAlex | W34386475 |
| Language | EN |
| References cited | 62 |
The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures. Specifically, we adopt the vector autoregression-dynamic correlation coefficient-generalized autoregressive conditional heteroskedasticity (VAR-DCC-GARCH) model and vector autoregression-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity (VAR-BEKK-GARCH) models and calculate the hedging effectiveness (HE) value to investigate the dynamic correlation and volatility spillover and assess the risk reduction of the Bitcoin futures to spot. The empirical results show that the Bitcoin spot and futures markets are highly connected; second, there exists a bi-directional volatility spillover between the spot and futures market; third, the HE value is equal to 0.6446, which indicates that Bitcoin futures can indeed hedge the risks in the Bitcoin spot market. Furthermore, we update the data to the post-Covid-19 period to do the robustness checks. The results do not change our conclusion that Bitcoin futures can hedge the risks in the Bitcoin spot market, and besides, the post-Covid-19 results indicate that the hedging ability of Bitcoin futures increased. Finally, we test whether the gold futures can be used as a Bitcoin spot market hedge, and we further control other cryptocurrencies to illustrate the hedging ability of the Bitcoin futures to the Bitcoin spot. Overall, the empirical results in this paper will surely benefit the related investors in the Bitcoin market
Political science · Higher Education Governance and Development · Mathematics
Covid-19 and finance
Spillover of Covid-19
On the network topology of variance decompositions
Covid-Induced Economic Uncertainty
Financial markets under the global pandemic of Covid-19
Covid-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy
Economic Effects of Coronavirus Outbreak (Covid-19) on the World Economy
Feverish Stock Price Reactions to Covid-19
The impact of Covid-19 on the travel and leisure industry returns
Dynamic Conditional Correlation
Better to give than to receive
| Citation velocity | historical |
|---|---|
| Highly cited | No |