Open AccessIS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?
Author(s) -
S. Thomas Kim,
S. Yu. Orlova
Publication year - 2021
Publication title -
applied finance letters
Language(s) - English
Resource type - Journals
eISSN - 2253-5802
pISSN - 2253-5799
DOI - 10.24135/afl.v10i.396
Subject(s) - pandemic , harm , futures contract , financial economics , economics , monetary economics , index (typography) , covid-19 , business , political science , law , computer science , medicine , disease , pathology , world wide web , infectious disease (medical specialty)
This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.