EXPLORING THE ROLE OF CRYPTOCURRENCIES AS A SAFE HAVEN IN EMERGING STOCK MARKETS DURING COVID-19

Аннотация

This study investigates the role of cryptocurrencies as a safe haven in emerging stock markets during the COVID-19 pandemic. Using data from five emerging stock markets and their respective cryptocurrency markets, the study employs a multivariate GARCH model to analyze the relationship between stock market and cryptocurrency returns and volatility. The results show that cryptocurrencies, particularly Bitcoin, exhibit a safe haven effect during times of financial distress in emerging stock markets. However, this effect is limited to short-term periods, and the correlation between cryptocurrencies and stock markets tends to converge over time. These findings have important implications for investors and policymakers in emerging stock markets, as cryptocurrencies can serve as a valuable diversification tool but also carry inherent risks. Overall, this study provides insight into the potential role of cryptocurrencies as a safe haven during times of market turbulence. KEYWORDS Cryptocurrencies, safe haven, emerging stock markets, COVID-19, diversification, regulation, volatility, financial distress.