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Cryptocurrencies and financial assets during COVID-19 pandemic: Example of cointegration analysis
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2021 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2021. , p. 35
Keywords [en]
Cointegration, COVID-19 Pandemic, Cryptocurrencies, Financial Assets, Market Index, Bitcoin, Ethereum, Johansen Test
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-17342Local ID: EXF800OAI: oai:DiVA.org:hv-17342DiVA, id: diva2:1587001
Subject / course
Nationalekonomi
Educational program
Magister i finans
Supervisors
Examiners
Available from: 2021-08-23 Created: 2021-08-23 Last updated: 2021-08-23Bibliographically approved

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