Co-Movement of COVID-19 and Bitcoin: Evidence from Wavelet Coherence Analysis

12 Pages Posted: 11 May 2020 Last revised: 20 May 2020

See all articles by John W. Goodell

John W. Goodell

University of Akron - Department of Finance, College of Business Administration

Stephane Goutte

University Paris-Saclay, UVSQ, CEMOTEV, UVSQ.

Date Written: May 9, 2020

Abstract

We apply wavelet method to daily data of COVID-19 world deaths and daily Bitcoin prices from 31th December 2019 to 29th April 2020. We find especially for the period post April 5 that levels of COVID-19 caused a rise in Bitcoin prices. We contribute both to the fast-growing body of work on the financial impacts of COVID-19, as well as to ongoing consideration of whether Bitcoin is a safe haven investment. Our results should be of great interest to both scholars and policy makers, as well as investment professionals interested in the financial implications of both COVID-19 and cryptocurrencies.

Keywords: Co-movement; COVID-19; Bitcoin; Wavelet; Safe haven

JEL Classification: C58; F37; G14; G15; Q31

Suggested Citation

Goodell, John W. and Goutte, Stephane, Co-Movement of COVID-19 and Bitcoin: Evidence from Wavelet Coherence Analysis (May 9, 2020). Available at SSRN: https://ssrn.com/abstract=3597144 or http://dx.doi.org/10.2139/ssrn.3597144

John W. Goodell (Contact Author)

University of Akron - Department of Finance, College of Business Administration ( email )

259 S. Broadway
Akron, OH 44325
United States

Stephane Goutte

University Paris-Saclay, UVSQ, CEMOTEV, UVSQ. ( email )

47 Boulevard Vauban
Guyancourt, 78280
France

HOME PAGE: http://https://sites.google.com/site/mathgoutte/

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