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Goodell J. & Goutte S. (CEMOTEV), "Co-Movement of COVID-19 and Bitcoin: Evidence from Wavelet Coherence Analysis", Finance Research Letters, 03 June 2020

le 3 juin 2020

03 June 2020

Authors : John W. Goodell & Stéphane Goutte (CEMOTEV)
Article : "Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis"
In : Finance Research Letters
DOI : https://doi.org/10.1016/j.frl.2020.101625
Date : 03 June 2020

Abstract


We apply wavelet methods to daily data of COVID-19 world deaths and daily Bitcoin prices from 31th December 2019 to 29th April 2020. We find, especially for the period post April 5, that levels of COVID-19 caused a rise in Bitcoin prices. We contribute to the fast-growing body of work on the financial impacts of COVID-19, as well as to ongoing consideration of whether Bitcoin is a safe haven investment. Our results should be of great interest to both scholars and policy makers, as well as investment professionals interested in the financial implications of both COVID-19 and cryptocurrencies.

Keywords
Co-movement ; COVID-19 ; Bitcoin ; Wavelet ; Safe haven

JEL classification
C58 F37 G14 G15 Q31

Article Online :


www.sciencedirect.com/science/article/pii/S1544612320306978