Are cryptocurrencies a safe-haven? A quantile GARCH analysis of Bitcoin and Ethereum
用分位数GARCH模型分析2018-2022年比特币和以太坊对股票、国债和黄金的安全港属性，发现两者主要起分散作用，仅以太坊在疫情期间回报显著为正。
The purpose of this study is to examine the potential safe-have properties of the two most popular cryptocurrencies, i.e., Bitcoin and Ethereum, against equites, government bonds and gold. To do so, the paper makes use of a daily dataset ranging from 2018 to 2022 acknowledging both the COVID-19 and the potential halving effect in the cryptocurrency market. To robustly assess the research question, the paper employs a quantile GARCH model with non-parametric diagnostics, dynamic Local Projections and rolling window estimations for robustness. The findings of the paper suggest that both assets act as diversifiers against equities and against each other, whereas the halving effect is statistically insignificant and the COVID-19 effect is statistically significantly positive only for the returns of Ethereum. The results imply that cryptocurrencies could contribute to portfolio diversification under stress market conditions.