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      Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis

      research-article
      * , a , b , c
      Finance Research Letters
      Elsevier Inc.
      Co-movement, COVID-19, Bitcoin, Wavelet, Safe haven

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          Abstract

          We apply wavelet methods 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 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.

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          Most cited references38

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          A Practical Guide to Wavelet Analysis

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            Application of the cross wavelet transform and wavelet coherence to geophysical time series

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              COVID-19 and finance: Agendas for future research

              This paper highlights the enormous economic and social impact of COVID-19 with respect to articles that have either prognosticated such a large-scale event, and its economic consequences, or have assessed the impacts of other epidemics and pandemics. A consideration of possible impacts of COVID-19 on financial markets and institutions, either directly or indirectly, is briefly outlined by drawing on a variety of literatures. A consideration of the characteristics of COVID-19, along with what research suggests have been the impacts of other past events that in some ways roughly parallel COVID-19, points toward avenues of future investigation.
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                Author and article information

                Journal
                Financ Res Lett
                Financ Res Lett
                Finance Research Letters
                Elsevier Inc.
                1544-6123
                1544-6131
                3 June 2020
                January 2021
                3 June 2020
                : 38
                : 101625
                Affiliations
                [a ]University of Akron Department of Finance, Akron, Ohio, United States
                [b ]Université Paris-Saclay, UVSQ, CEMOTEV, 78280, Guyancourt, France
                [c ]Paris School of Business, PSB, 59 rue Nationale, Paris, 75013, France
                Author notes
                [* ]Corresponding author.
                Article
                S1544-6123(20)30697-8 101625
                10.1016/j.frl.2020.101625
                9761190
                36569647
                28e7b403-97c7-455c-a771-ea6d85132b30
                © 2020 Elsevier Inc. All rights reserved.

                Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.

                History
                : 9 May 2020
                : 24 May 2020
                : 1 June 2020
                Categories
                Article

                co-movement,covid-19,bitcoin,wavelet,safe haven
                co-movement, covid-19, bitcoin, wavelet, safe haven

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