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Hedge, Safe Haven, and Diversification for US and China Stock Markets during COVID-19 Outbreak: Volatile versus Stable Cryptocurrencies | ||
| Iranian Economic Review | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 14 مرداد 1401 | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2022.88411 | ||
| نویسنده | ||
| Mohamed Fakhfekh* | ||
| Higher Institute of Business Administration, University of Sfax, Tunisia | ||
| چکیده | ||
| This paper is designed to examine the volatile and stable cryptocurrencies’ role in the US and Chinese stock market indexes. In this context, the TGARCH- ADCC modeling approach is used to determine the dynamic conditional correlation, to be implemented in the linear regression model to determine each of these instruments specific behavioral effects on the US and China stock indices. The reached findings reveal well that TRUE provesto stand as a strong safe haven asset for US investors throughout the entire study period. However, it turns out to play a safe haven role for Chinese investors regarding the pre 2020period. As for Gold, it appears to lose its safe haven character prior to the global 2020 pandemic, to turn into a diversifier asset for US investors. The computed optimal hedge and hedging effectiveness reveal well thatGold proves to display the best hedging instrument for the US investors regarding the pre-covid-19 period, while Ethereum proves to represent the most optimal hedging tool for the Chinese investors. It also turns out to stand as the most effective hedging instrument all over the Covid-pandemic period for both of the US as well as Chinese investors. | ||
| کلیدواژه‌ها | ||
| Keywords: Volatile and Stable Cryptocurrencies؛ Gold؛ US and China Stock Indices؛ Safe Haven؛ Hedging؛ Diversification؛ COVID-19. JEL Classification: C52؛ G11؛ G17 | ||
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آمار تعداد مشاهده مقاله: 202 |
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