Acceso usuarios
Achraf Ghorbel, Sahar Loukil, Walid Bahloul
Purpose This paper analyzes the connectedness with network among the major cryptocurrencies, the G7 stock indexes and the gold price over the coronavirus disease 2019 (COVID-19) pandemic period, in 2020.
Design/methodology/approach This study used a multivariate approach proposed by Diebold and Yilmaz (2009, 2012 and 2014).
Findings For a stock index portfolio, the results of static connectedness showed a higher independence between the stock markets during the COVID-19 crisis. It is worth noting that in general, cryptocurrencies are diversifiers for a stock index portfolio, which enable to reduce volatility especially in the crisis period. Dynamic connectedness results do not significantly differ from those of the static connectedness, the authors just mention that the Bitcoin Gold becomes a net receiver. The scope of connectedness was maintained after the shock for most of the cryptocurrencies, except for the Dash and the Bitcoin Gold, which joined a previous level. In fact, the Bitcoin has always been the biggest net transmitter of volatility connectedness or spillovers during the crisis period. Maker is the biggest net-receiver of volatility from the global system. As for gold, the authors notice that it has remained a net receiver with a significant increase in the network reception during the crisis period, which confirms its safe haven.
Originality/value Overall, the authors conclude that connectedness is shown to be conditional on the extent of economic and financial uncertainties marked by the propagation of the coronavirus while the Bitcoin Gold and Litecoin are the least receivers, leading to the conclusion that they can be diversifiers.
