Financial Economics
mahdieh rezagholizadeh; majid aghaei; mehran abbaszadeh
Abstract
The global crude oil market has experienced a significant downturn since the outbreak of the Covid-19 virus in December 2019. Considering the importance of safe haven asset in recent years, this paper empirically investigates the time-varying correlations between Bitcoin and oilmarkets to examine whether ...
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The global crude oil market has experienced a significant downturn since the outbreak of the Covid-19 virus in December 2019. Considering the importance of safe haven asset in recent years, this paper empirically investigates the time-varying correlations between Bitcoin and oilmarkets to examine whether Bitcoin is a safe haven asset for the international crude oil markets during the 2014-2021 (daily) with emphasis on COVID-19 period).The results of the time-varying correlations obtained through the dynamic conditional correlation (DCC-GARCH) model show that during the period of investigation (2014-2020), there is a positive conditional correlation between Bitcoin and crude oil, and this positive conditional correlation increase during the period of the Covid-19 virus. This result indicates that Bitcoin cannot be accepted as a safe haven for crude oil fluctuations and can only be considered as a diversifier in the asset portfolio.Keywords: Crude Oil, Bitcoin, Covid- 19, Safe Haven, Dynamic Conditional Correlation (DCC-GARCH)
