Crypto Havens During War Times? Evidence from the Russian Invasion of Ukraine

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00135078" target="_blank" >RIV/00216224:14560/24:00135078 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S1062940824000172?dgcid=author" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1062940824000172?dgcid=author</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.najef.2024.102093" target="_blank" >10.1016/j.najef.2024.102093</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Crypto Havens During War Times? Evidence from the Russian Invasion of Ukraine

Popis výsledku v původním jazyce

The Russian invasion of Ukraine on 24th February 2022 resulted in a steep increase in a geopolitical risk index and, with imposed economic and political sanctions, caused both commodity and financial markets turmoil. In this paper, we investigate whether Bitcoin and Ether (traditional cryptocurrencies), Tether (fiat-backed stablecoin), and Solana (utility token) can be considered safe havens against each other, gold, stock and commodity indices, and foreign exchange currencies during wartime and focus on the effect of military and nuclear events. We employ cross-quantilogram methodology with moving 200 hours windows and use high-frequency hourly spot prices data between 2nd January 2022 and 17th July 2022. We determine that crypto assets primarily show weak safe-haven properties for the commodity market and strong safe-haven properties for foreign exchange currencies. Tether and Solana exhibit safe-haven properties for gold. While Tether is a weak safe haven for the stock market, other crypto assets cannot be effectively used by investors to diversify their stock portfolios during times of war.

Název v anglickém jazyce

Crypto Havens During War Times? Evidence from the Russian Invasion of Ukraine

Popis výsledku anglicky

The Russian invasion of Ukraine on 24th February 2022 resulted in a steep increase in a geopolitical risk index and, with imposed economic and political sanctions, caused both commodity and financial markets turmoil. In this paper, we investigate whether Bitcoin and Ether (traditional cryptocurrencies), Tether (fiat-backed stablecoin), and Solana (utility token) can be considered safe havens against each other, gold, stock and commodity indices, and foreign exchange currencies during wartime and focus on the effect of military and nuclear events. We employ cross-quantilogram methodology with moving 200 hours windows and use high-frequency hourly spot prices data between 2nd January 2022 and 17th July 2022. We determine that crypto assets primarily show weak safe-haven properties for the commodity market and strong safe-haven properties for foreign exchange currencies. Tether and Solana exhibit safe-haven properties for gold. While Tether is a weak safe haven for the stock market, other crypto assets cannot be effectively used by investors to diversify their stock portfolios during times of war.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

The North American Journal of Economics and Finance

ISSN

1062-9408

e-ISSN

1879-0860

Svazek periodika

71

Číslo periodika v rámci svazku

March

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

16

Strana od-do

1-16

Kód UT WoS článku

001176810100001

EID výsledku v databázi Scopus

2-s2.0-85183903888