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Cryptocurrencies and financial assets during COVID-19 pandemic: Example of cointegration analysis
Högskolan Väst, Institutionen för ekonomi och it, Avd för juridik, ekonomi, statistik och politik.
2021 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

The purpose for thesis is to test the cointegration among cryptocurrencies, financial assets and COVID-19 Cases/Deaths to find if there is cointegration. The Johansen cointegration test is used in order to find if there is cointegration. For the whole period spans from April 2016 to April 2021, the results showed that there is existing cointegration between Bitcoin and each market index. For the pre-pandemic period spans from April 2016 to December 2019, the results showed that there is no cointegration between Bitcoin and each market index. For the pandemic period spans from January 2020 to April 2021, the results showed that there is no cointegration between Bitcoin and each market index. On the other side, there is no cointegration between Ethereum and each market index in the three time periods. The results for the pandemic period showed that there is cointegration between COVID-19 cases and each market index except IBEX35 in Spain. Moreover, there is existing cointegration between COVID-19 cases and each cryptocurrency. The results showed that there is cointegration between (COVID-19 deaths and each market index) and (COVID-19 deaths and each cryptocurrency). Finally, the cryptocurrencies and market indices provide advantages in terms of hedge against the pandemic.

sted, utgiver, år, opplag, sider
2021. , s. 35
Emneord [en]
Cointegration, COVID-19 Pandemic, Cryptocurrencies, Financial Assets, Market Index, Bitcoin, Ethereum, Johansen Test
HSV kategori
Identifikatorer
URN: urn:nbn:se:hv:diva-17342Lokal ID: EXF800OAI: oai:DiVA.org:hv-17342DiVA, id: diva2:1587001
Fag / kurs
Nationalekonomi
Utdanningsprogram
Magister i finans
Veileder
Examiner
Tilgjengelig fra: 2021-08-23 Laget: 2021-08-23 Sist oppdatert: 2021-08-23bibliografisk kontrollert

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