Asymmetric interdependencies between cryptocurrency and commodity markets: the COVID-19 pandemic impact

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2022-01-01 DOI:10.3934/qfe.2022004
Francisco Jareño, María de la O González, Pascual Belmonte
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引用次数: 7

Abstract

Using NARDL methodology, this research investigates some asymmetric and non-linear interconnections between leading cryptocurrency and commodity returns. Thus, this study explores potential interconnections between these cryptocurrencies and commodity markets in the period between March 07, 2018, and March 26, 2021. This paper splits the entire sample period into two independent sub-periods in order to enhance robustness: pre-COVID and COVID, to examine the impact of the pandemic on these markets. Our results confirm that the most relevant interconnection (in terms of cointegration, short- and long- asymmetry, and the persistence of the lags) between cryptos and commodities is focused on COVID-19, the pandemic sub-period, in line with previous literature. Finally, the study reveals that some cryptocurrencies such as Tether could serve as a diversifying asset or even a safe haven, in certain scenarios, in investment strategies.
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加密货币和商品市场之间的不对称相互依赖关系:COVID-19大流行的影响
本研究使用NARDL方法研究了主要加密货币和商品回报之间的一些不对称和非线性相互关系。因此,本研究探讨了2018年3月7日至2021年3月26日期间这些加密货币与商品市场之间的潜在相互联系。为了增强稳健性,本文将整个样本周期分为两个独立的子周期:pre-COVID和COVID,以检查大流行对这些市场的影响。我们的研究结果证实,加密货币和大宗商品之间最相关的相互联系(就协整、短期和长期不对称以及滞后的持久性而言)集中在COVID-19大流行子时期,这与之前的文献一致。最后,该研究表明,在某些情况下,在投资策略中,一些加密货币(如Tether)可以作为多元化资产,甚至是安全港。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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