Investigating the Dynamic Conditional Correlation Between Crude Oil and Bitcoin with an Emphasis on Covid-19

اقتصاد پولی مالی

Article 7, Volume 30, Issue 26, July 2023, Pages 205-242   

Document Type: Original Article

DOI: 10.22067/mfe.2023.81726.1293

Authors

mahdieh rezagholizadeh^{* 1}; majid aghaei²; mehran abbaszadeh¹

¹university of Mazandaran

²univer

Abstract

The global crude oil market has experienced a significant downturn since the outbreak of the Covid-19 virus in December 2019. Considering the importance of safe haven asset in recent years, this paper empirically investigates the time-varying correlations between Bitcoin and oil
markets to examine whether Bitcoin is a safe haven asset for the international crude oil markets during the 2014-2021 (daily) with emphasis on COVID-19 period).
The results of the time-varying correlations obtained through the dynamic conditional correlation (DCC-GARCH) model show that during the period of investigation (2014-2020), there is a positive conditional correlation between Bitcoin and crude oil, and this positive conditional correlation increase during the period of the Covid-19 virus. This result indicates that Bitcoin cannot be accepted as a safe haven for crude oil fluctuations and can only be considered as a diversifier in the asset portfolio.
Keywords: Crude Oil, Bitcoin, Covid- 19, Safe Haven, Dynamic Conditional Correlation (DCC-GARCH)

Keywords

Crude Oil; Bitcoin; Covid- 19; Safe Haven; Dynamic Conditional Correlation (DCC-GARCH)

References