The Contagion Effects of the COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies

12 Pages Posted: 30 Mar 2020

See all articles by Shaen Corbet

Shaen Corbet

Dublin City University ; University of Waikato - Management School

Charles James Larkin

Institute for Policy Research (IPR), University of Bath; Trinity College Dublin

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Date Written: March 30, 2020

Abstract

At the beginning of the 2020 global COVID-2019 pandemic, Chinese financial markets acted as the epicentre of both physical and financial contagion. Our results indicate that a number of characteristics expected during a "flight to safety" were present during the period analysed. The volatility relationship between the main Chinese stock markets and Bitcoin evolved significantly during this period of enormous financial stress. We provide a number of observations as to why this situation occurred. Such dynamic correlations during periods of stress present further evidence to cautiously support the validity of the development of this new financial product within mainstream portfolio design through the diversification benefits provided.

Keywords: COVID-19; Coronavirus; Contagion; Stock Market; Sentiment

Suggested Citation

Corbet, Shaen and Larkin, Charles James and Lucey, Brian M., The Contagion Effects of the COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3564443 or http://dx.doi.org/10.2139/ssrn.3564443

Shaen Corbet (Contact Author)

Dublin City University ( email )

Dublin 9
Ireland

University of Waikato - Management School ( email )

Hamilton
New Zealand

Charles James Larkin

Institute for Policy Research (IPR), University of Bath ( email )

10 West
Claverton Down
Bath, BA2 7AY
United Kingdom

Trinity College Dublin ( email )

AAP College Green
Dublin 2
Ireland

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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