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Sustainability
Volume 13
Issue 14
10.3390/su13147672
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Article

Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market

by
Samia Nasreen
1,
Aviral Kumar Tiwari
2,3 and
Seong-Min Yoon
4,*
1
Department of Economics, Lahore College for Women University, Lahore 35200, Pakistan
2
Rajagiri Valley Campus, Rajagiri Business School, Kochi 68203, India
3
South Ural State University, Lenin Prospect 76, 454080 Chelyabinsk, Russia
4
Department of Economics, Pusan National University, Busan 43241, Korea
*
Author to whom correspondence should be addressed.
Sustainability 2021, 13(14), 7672; https://doi.org/10.3390/su13147672
Submission received: 26 May 2021 / Revised: 3 July 2021 / Accepted: 7 July 2021 / Published: 9 July 2021
(This article belongs to the Special Issue World under Pandemic—the Sustainable Economy Challenge)
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Abstract

This paper examines interlinkages and hedging opportunities between nine major cryptocurrencies from 30 September 2015 to 4 June 2020, a period which notably includes the COVID-19 outbreak lasting from early 2020 to the end of the sample period. Estimated time-varying correlation coefficients that are based on a TVP-VAR show a high degree of interconnectedness among cryptocurrencies throughout the sample period. Notably, the correlations reach their joint minimum during the COVID-19 pandemic indicating that cryptocurrencies acted as a hedge or safe haven during the stressful period of the COVID-19 pandemic. The cryptocurrency weights of the minimum connectedness portfolio were significantly reduced and their hedging effectiveness varied greatly during the pandemic, implying that investors’ preferences changed during the COVID-19 period.
Keywords: cryptocurrency; COVID-19; TVP-VAR; minimum connectedness portfolio; hedging effectiveness cryptocurrency; COVID-19; TVP-VAR; minimum connectedness portfolio; hedging effectiveness

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MDPI and ACS Style

Nasreen, S.; Tiwari, A.K.; Yoon, S.-M. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Sustainability 2021, 13, 7672. https://doi.org/10.3390/su13147672

AMA Style

Nasreen S, Tiwari AK, Yoon S-M. Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Sustainability. 2021; 13(14):7672. https://doi.org/10.3390/su13147672

Chicago/Turabian Style

Nasreen, Samia, Aviral Kumar Tiwari, and Seong-Min Yoon. 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market" Sustainability 13, no. 14: 7672. https://doi.org/10.3390/su13147672

APA Style

Nasreen, S., Tiwari, A. K., & Yoon, S.-M. (2021). Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market. Sustainability, 13(14), 7672. https://doi.org/10.3390/su13147672

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