Title: Is cryptocurrency still a safe haven for assets in light of the COVID-19 waves? Evidence from wavelet coherence analysis

Authors: Riadh Benammar; Adel Boubaker; Anas Elmelki

Addresses: Faculty of Economic Sciences and Management of Tunis (FSEGT), University of Tunis El Manar, Tunisia ' Department of Finance and Accounting, Faculty of Management and Economic Sciences of Tunis, El Manar University, C.P. 2092, Tunis Cedex, Tunisia ' Department of Finance and Accounting, Higher Institute of Business Administration, University of Gafsa, Tunisia

Abstract: This paper uses the wavelet coherence approach and the wavelet-based Granger causality test, to investigate the effect of the five waves of the COVID-19 pandemic on Bitcoin, Ethereum, BNB, Cardano, Ripple, Dogecoin, TRON, Litecoin, Stellar, and Bitcoin Cash in a time-frequency framework from 22 January 2020 to 22 February 2022. The results show the presence of correlation between the COVID-19 pandemic and cryptocurrencies in the short-medium term, and a positive impact on Bitcoin only during the first wave of the pandemic in the medium term. However, Cardano failed to act as a risk diversifier. In the long-term, our analysis shows that Ethereum, BNB, Ripple, Dogecoin, TRON, Litecoin, Stellar, and Bitcoin Cash proved their ability as strong safe haven assets, even during different periods of the COVID-19 crisis. Our results can provide helpful information for policymakers, and cryptocurrency market main and hedge funds managers during periods of uncertainty.

Keywords: cryptocurrency; COVID-19 waves; uncertainty; safe haven; wavelet coherence.

DOI: 10.1504/IJFMD.2023.133454

International Journal of Financial Markets and Derivatives, 2023 Vol.9 No.3, pp.155 - 169

Received: 23 Dec 2022
Accepted: 14 Apr 2023
Published online: 15 Sep 2023 *

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