Does Analyzing the Dynamics of Digital Currencies Help to Determine the Safe-Haven Crypto-Currency during the Covid-19 Outbreak?
Purpose: In this paper, we attempt to investigate the dynamic behavior of the crypto-currencies in order to better apprehend their possible safe-haven proprieties during the health crisis. Design/methodology/approach: From a methodological standpoint, we develop a unified framework to jointly model the dynamic association between some crypto-currencies and the intensity of Covid-19 pandemic. Findings: The empirical findings clearly indicate asymmetric dynamics of digital currencies when facing against an extremely stressful and unpredictable event. This also indicates the different reactions of cryptocurrency markets to the increase of Covid-19 intensity during the period 01/09/2019-01/01/2021. Practical implications: Therefore, a better understanding of the joint dynamics between the Covid-19 intensity and digital currencies involves figuring out the safe-haven features of some digital currencies. Overall, such findings can be interesting for helping the market participants who want to learn much more about the safe-haven role of crypto-currencies.