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

John W Goodell; Stephane Goutte

doi:10.1016/j.frl.2020.101625

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

Financ Res Lett. 2021 Jan:38:101625. doi: 10.1016/j.frl.2020.101625. Epub 2020 Jun 3.

Authors

John W Goodell¹, Stephane Goutte^{2

3}

Affiliations

¹ University of Akron Department of Finance, Akron, Ohio, United States.
² Université Paris-Saclay, UVSQ, CEMOTEV, 78280, Guyancourt, France.
³ Paris School of Business, PSB, 59 rue Nationale, Paris, 75013, France.

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.

Keywords: Bitcoin; COVID-19; Co-movement; Safe haven; Wavelet.