Unlike gold, digital assets are not a safe haven for US investors during the coronavirus crisis. At the beginning of 2020, we observe that the conditional correlation increased between cryptocurrencies, stock indexes, and oil which confirm the effect of the coronavirus contagion between them. Our results show that cryptocurrencies may offer diversification benefits for investors and are diversifiers during the stability period. Also, we find that Bitcoin and gold are considered hedges for the US investors before the coronavirus crisis. During the stability period, the overarching implications of the results are that there is a persistence of correlation between cryptocurrencies in high positive value and low dynamic conditional correlations between cryptocurrencies and financial assets. The results of the DCC-GARCH model identify an important effect of the launch of Bitcoin futures.

The results of the BEKK-GARCH model show evidence of a higher volatility spillover between cryptocurrencies and lower volatility spillover between cryptocurrencies and financial assets. This paper analyzes the relationships between volatilities of five cryptocurrencies, American indices (S&P500, Nasdaq, and VIX), oil, and gold.

Bitcoin stock price 2017