Crude Oil Prices and Crypto-Assets: What Are the Effects of COVID-19 Pandemic?

17 Pages Posted: 20 Sep 2020

See all articles by Hela Mzoughi

Hela Mzoughi

University of Tunis Carthage-Carthage Business School; ISG Sousse

Yosra Ghabri

University of Tunis Carthage-Carthage Business School

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change

Date Written: September 18, 2020

Abstract

The current global COVID-19 pandemic is adversely affecting the oil market (West Texas Intermediate) and crypto-assets markets. This paper empirically investigates the extent to which interdependence in markets may be driven by COVID-19 effects. We fit copulas to pairs of before and after returns, analyze the observed changes in the dependence structure, and discuss asymmetries on the propagation of crisis. We also use the findings to construct portfolios possessing desirable expected behavior. We find that the dependence structure changes significantly after the global pandemic providing valuable information on how COVID- 19 crisis affects inter-dependencies. The results also prove the intrinsic characteristic of the gold as a safe haven.

Keywords: WTI; Crypto-assets; COVID-19 pandemic; Co-movement; Safe-haven

JEL Classification: C58; G01

Suggested Citation

Mzoughi, Hela and Ghabri, Yosra and Guesmi, Khaled, Crude Oil Prices and Crypto-Assets: What Are the Effects of COVID-19 Pandemic? (September 18, 2020). Available at SSRN: https://ssrn.com/abstract=3694917 or http://dx.doi.org/10.2139/ssrn.3694917

Hela Mzoughi (Contact Author)

University of Tunis Carthage-Carthage Business School ( email )

Avenu Fattouma Bourguiba
Tunis, Tunis 2036
Tunisia

ISG Sousse ( email )

Sousse
Tunisia

Yosra Ghabri

University of Tunis Carthage-Carthage Business School ( email )

Avenue Fattouma Bourguiba, Sokra
Tunis, 2045
2045 (Fax)

Khaled Guesmi

PSB Paris School of Business - Center of Research for Energy and Climate Change ( email )

France

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