Investigating the Dynamic Conditional Correlation Between Crude Oil and Bitcoin with an Emphasis on Covid-19

Document Type : Original Article

Authors

mahdieh rezagholizadeh ¹

majid aghaei ²

mehran abbaszadeh ¹

¹ university of Mazandaran

² univer

https://doi.org/10.22067/mfe.2023.81726.1293

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 oil
markets 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)

Keywords

Crude Oil

Bitcoin

Covid- 19

Safe Haven

Dynamic Conditional Correlation (DCC-GARCH)

Subjects

• Financial Economics

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