Analysis of Safe Haven Quality of Cryptocurrencies under the Cryptocurrency Policy Uncertainty
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This study aims to analyze the safe haven properties of the top three cryptocurrencies (BTC, ETH, and BNB), in comparison to returns of conventional financial assets (Gold, Oil, US Dollar Index, S&P500) under the Cryptocurrency Policy Uncertainty Index (UCRY) From 5 January 2014 to 3 January 2021 by using DCC-GARCH Model. In addition, this study also examines the lead-lag relationships between pairs of assets using Wavelet Coherence Model. The results show that BTC, ETH, and BNB are weak safe havens for Gold, while BTC is a weak safe haven for every traditional financial asset. Moreover, BTC and ETH display a lagging relationship with Gold, while BNB exhibits a positive correlation with Gold. Similarly, BTC ETH and BNB positively correlate with S&P500 during the COVID-19 pandemic.
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