WORKING PAPER

Did Bitcoin act as an antidote to the Chinese equity

market and booster to Altcoins during the Novel
Coronavirus outbreak?
Rabin K. Jana1*, Debojyoti Das2
1Indian Institute of Management Raipur, CG 493661, India
2Woxsen School of Business, Hyderabad, TS 502345, India

*
Corresponding author
1 rkjana1@gmail.com (RK Jana)
2 debojyoti.d@outlook.com (Debojyoti Das)

Highlights
• Hedging and safe haven potentials of Bitcoin is examined during the
Coronavirus outbreak.
• BTC is a weak hedge during the overall period and a weak safe haven
onset the crisis.
• BTC is a weak hedge, diversifier and a weak safe haven for the sectoral
equity indexes.
• Gold outperforms BTC in hedging and safe haven perspectives.
• Altcoin price rises are majorly due to spillover from BTC prices
Abstract
In this study, we examine the resilience of Bitcoin (BTC) to hedge
Chinese aggregate and sectoral equity markets and the returns
spillover to Altcoins onset the Novel Coronavirus outbreak. We
observe that BTC is a weak hedge during the overall period and a
weak safe haven onset the crisis. Besides, BTC is a weak hedge,
diversifier and a weak safe haven for the sectoral equity indexes.
Overall, gold outperforms BTC in hedging and safe haven
perspectives with respect to Chinese equity markets. Lastly, we find
that the rise in Altcoin prices are majorly due to spillover from BTC
prices.
Keywords: Novel Coronavirus; Bitcoin; China; Altcoin; Hedge; Safe
haven.
JEL Classification: C22; G15

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1. Introduction
The recent Novel Coronavirus (COVID19) outbreak in China
onset December 2019 has caused severe devastation both in terms
of human lives and rising economic costs. The epicentre of
COVID19 outbreak is the city of Wuhan in Hubei province, where
the first case was detected. The city of Wuhan is the home to more
than 11 million people and a major transport hub of China. The
COVID19 is communicable. Thus, to prevent the human to
human transmission, stringent restrictions are imposed on people
who intend to move out of Wuhan. Besides, the public and
business plazas are locked down in the other cities of Hubei
province along with Wuhan. The fear of exposure to COVID19
infection restrains the public, in general, to visit the hotels,
restaurants and multiplexes. Consequently, commercial losses are
mounting. The quarantining of China with respect to international
trade and business travels have also smashed the national revenues
adversely.1 Several international airlines suspended their services in
China, besides multinational hotel chains are offering refunds 2.
Preventive measures are taken at shipping ports disrupting the free
movement of Cargo resulting economic cutbacks.3 Furthermore,
the Chinese state of affairs is also worrisome to the business
operations overseas due to the integrated supply chains. Major
motor manufacturers like Hyundai, headquartered in Seoul, South
Korea, withheld their production process due to the disruption in
the supply of spare parts from its operation in China. The
economic losses soon reflected in the Chinese stock markets,
which declined by 8% in the first week of February, which is the
biggest stock market fall in the last four years.4
While the Chinese stock market trembled by early January
2020, Bitcoin (BTC) prices followed an uphill trajectory (see Figure
1). The soaring BTC prices amid dwindling conventional financial

1
BBC News, “Coronavirus: The economic cost is rising in China and beyond”,
February 06, 2019, link:
https://www.bbc.com/news/business-51386575
2
South China Morning Post, “Major hotel chains waive fees as Wuhan
Coronavirus outbreak hits Lunar new year travel plans of millions”
January 24, 2019, link:
https://www.scmp.com/business/companies/article/3047562/major-hotel-
chains-waive-fees-wuhan-coronavirus-outbreak-hits
3
Ship Technology, “Coronavirus outbreak: Measures and preventive
actions by ports”, February 16, 2020, link:https://www.ship-
technology.com/features/coronavirus-outbreak-measures-and-preventive-
actions-by-ports/.
4
BBC News, “Coronavirus: China shares in biggest fall in four years”, February
03, 2020, link:
https://www.bbc.com/news/business-51352535

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asset returns made a buzz in the media.5, 6 Subsequently, re-ignited
the discussion on the hedging and safe haven potentials of BTC.
In the recent past, several studies have empirically examined the
resilience of BTC against macroeconomic adversities (Bouri et al.,
2017a, 2017b; Das et al., 2019; Wu et al., 2019). The plethora of
studies can be classified into two broad strands of literature. The
first strand of literature may be termed as ‘proponents’ of BTC as
an effective hedging instrument. For instance, Bouri et al., (2017a)
report BTC as a hedge against the global financial market
uncertainty. Similarly, Akhtaruzzaman et al., (2019) find that BTC
is a suitable risk hedge against industry portfolio and bonds. In
another study, Bouri et al., (2019) argue that BTC could act as a
hedge to the composite Asia Pacific and Japanese equity markets.
Besides, other studies advocate the resilience BTC concerning
composite global financial stress index (Bouri et al., 2018),
economic policy uncertainty (EPU) (Demir et al., 2018),
geopolitical risk (Aysan et al., 2019) and crude oil (Selmi et al.,
2018).

The second strand of literature, on the contrary, may be

referred to as ‘antagonists’ view of BTC as an effective hedging
instrument. The studies in this streak of literature find no or weak
hedging or safe haven capabilities of BTC. Bouri et al., (2017b)
purport that BTC is a poor hedge with respect to stocks, bonds,
gold and oil, thus, can be used for portfolio diversification only.
Shahzad et al., (2019) report similar evidence and conclude that
BTC serves as a weak safe haven against stock indexes. Klein et al.,
(2018) assess the performance of BTC with regards to volatility,
correlation and performance in the portfolio with conventional
investible assets. They compare the results of BTC with gold and
conclude that the role of BTC is inferior as a hedge and safe haven,
especially in the developed markets. Among other studies, Wu et
al., (2019) find BTC as a weak safe haven and hedge against EPU.
Das et al., (2019) argue that BTC is not the best instrument to
hedge structural crude oil price shocks as compared to gold,
aggregate commodity and the US Dollar index. Also, Smales (2018)
strongly argues that BTC returns are more volatile and illiquid as
compared to gold, and thus, may not be appropriate as a potential
safe haven.7

5
Chambers, C., “Bitcoin is proving the best gauge of the Coronavirus outbreak
after China stats shock”, Forbes, February 13, 2020, link:
https://www.forbes.com/sites/investor/2020/02/13/bitcoin-best-gauge-
coronavirus-outbreak-china/#5c5d14c32e7a
6
Kaminska, I., “Coronavirus “is good for Bitcoin””, Financial Times, January
27, 2020, link:
https://ftalphaville.ft.com/2020/01/27/1580128519000/Coronavirus-is-
good-for-bitcoin/
7
We discuss selected literature aligned with the objectives of our study. A
detailed literature review is out of scope of the present study.

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 In this study, we supplement to the ongoing debate on
hedging potentials of BTC with respect to the economic
consequences of a health crisis COVID19 outbreak. The key
questions we examine is whether Bitcoin provides diversification
benefits when the Chinese equity portfolio investors or not when
it is needed the most. If yes, did it outperform gold? How effective
diversifier is BTC with respect to sectoral Chinese equity indexes?
Moreover, it is observed that the prices of major Altcoins8 soared
corresponding to Bitcoin (see Figure 2). Thus, it is also interesting
to examine whether the price rise in Altcoins is due to the quivering
equity markets in China or mere spillover from BTC. Additionally,
the slackening economic activity in China also dampened the prices
of crude oil and other commodities (see Figure 3). The underlying
reason being China is the major importer of crude oil, and it is also
a central strategic commodity which influences all other
commodities (Zhang et al., 2018). Thus, it would also be interesting
to examine whether the Bitcoin could have been used to diversify
the oil and commodities investments or not. We refer the hedging,
diversification and safe haven property (if any) of BTC which
might reduce the downside risk of portfolio investments as the
metaphorical antidote. Similarly, the metaphoric use of booster
relates to returns spillover of BTC toward Altcoins.
We find that BTC is a weak hedge during the overall period
and a weak safe haven onset the crisis. Besides, as far as the sectoral
equity indexes are concerned, BTC is a weak hedge, diversifier and
a weak safe haven. Overall, gold outperforms BTC in hedging and
safe haven perspectives with respect to Chinese equity markets.
Lastly, we find that the rise in Altcoin prices are majorly due to
spillover from BTC prices. The rest of the paper is structured as
follows. Section 2 describes the data. Section 3 explains the
methodological approach. Section 4 discusses the empirical results
and Section 5 concludes.
INSERT FIGURE 1 HERE

INSERT FIGURE 2 HERE

INSERT FIGURE 3 HERE

2. Data
To disentangle the relationship between BTC, Chinese equity
markets and other cryptocurrencies, we consider 27 time-series
variables. To proxy for the overall Chinese equity market, Morgan
Stanley Capital International (MSCI) China index is used. Next, to
understand the sectoral variation of relationship with BTC we
consider ten sector-specific indexes - Energy (EN), Materials (MT),

8
Altcoins are the cryptocurrencies those were launched soon after the success
of Bitcoin.

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Industrials (IN), Consumer Discretionary (CD), Consumer Staples
(CS), Health Care (HC), Financials (FN), Information Technology
(IT), Telecommunication Services (TS) and Utilities (UT). The
MSCI classifies these sectors.9 Additionally, we consider three
commodity indexes - Gold, West Texas Intermediate (WTI) crude
oil futures and the Bloomberg Commodity Index (BCOM) as
representative of an overall commodity index. Lastly, to
understand the hedging performance of Altcoins we consider 12
major cryptocurrencies as per the market capitalization10 -
Ethereum (ETH), Ripple (XRP), Bitcoin Cash (BCH), Litecoin
(LTC), EOS, Tether (USDT), Binance Coin (BNB), Cardano
(ADA), Stellar (XLM), Monero (XMR), DASH and NEM. The
dataset is extracted from Bloomberg database, and all the price
indexes are denominated in Chinese-Yuan (CNY). The price
indexes (p) are converted into a first-logged difference form as
p
ln ( p t )*100. The segment-wise descriptive statistics of all the
t-1
underlying variables are reported in Table 1.
INSERT TABLE 1 HERE

3. Estimation methodology

The initial cases of COVID19 were detected during December

2019 (Huang et al., 2020); however, the signs of stock market
tumble were evident onset January 01, 2019 (see Figure 1).
Nevertheless, the market exhibited a short-lived recovery and
plummeted subsequently. As for to construct a tractable
econometric model, we consider the COVID19 affected period
from January 01 to February 14, 2020, enveloping 33 observations.
Further, to examine whether the BTC-Chinese market relationship
for the immediately preceding period was similar or not, we
consider the trading days of equal length. Besides, to control for
the BTC-Chinese market relationship in general, we consider an
additional 252 preceding trading days. Thus, the complete period
of study corresponds from November 27, 2018, to February 14,
2020 (318 daily observations). Figure 4 exhibits a graphic depiction
of the timeline of the study.
INSERT FIGURE 4 HERE

First, we specify the following model to understand the

association of BTC and gold with aggregate Chinese equity market:

9
MSCI classifies the aggregate stock indexes into 11 sectors. In our case, we
consider only 10 sectors since the data for the 11th sector which is Real Estate
(RE) was unavailable.
10
The selection of the cryptocurrencies is based on the ranking by the market
capitalization provided by CoinMarketCap, available at:
https://coinmarketcap.com/.

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 Rt =α+β1 St +β2 (St *D1,t )+β3 (St *D2,t )+et

σ2t =γ+δ1 e2t-1 +δ2 σ2t-1 ,(1)

where RI,t is the return on the investible instrument BTC or gold
at time t. St is the returns of the stock market (MSCI China) at time
t. Further, we use two dummy vectors to assign two sub-periods of
equal length. D1,t denotes crisis dummy preceding to the stock
market influence of COVID19 outbreak taking the value of 1 if t
falls in the specific period and 0 otherwise. Similarly, D2,t signifies
crisis dummy for the succeeding period. Such a specification is
helpful since the benchmark period for the comparison of the
stock-BTC association before and onset crisis is not based on the
entire sample. Rather, the comparison is based on pre and post-
crisis periods of the same time-frame, which is expected to reveal
the changes in investor’s behaviour (Baur and Lucey, 2009). The
error term at time t is expressed as et , and is modelled as a
Generalized Auto-Regressive Conditional Heteroscedasticity
(GARCH) model of order (1, 1). The use of GARCH-based model
is an appropriate option since increased market volatility during a
crisis episode is often a stylized fact in the financial markets. Thus,
it is reasonable to adjust for volatility to ensure that the changes in
the association between the two markets are not due to augmented
market volatility (Forbes and Rigobon, 2002).
Next, we examine the association of BTC and gold with the
sectoral stock indexes with a similar specification as in Eq. (1),
which is expressed as:
Rt =α+β1 Sct +β2 (Sct *D1,t )+β3 (Sct *D2,t )+et

σ2t =γ+δ1 e2t-1 +δ2 σ2t-1 (2)

where, Sct denotes stock index return of individual Chinese stock
sector at time t.
Lastly, we examine the association of Altcoins with the
aggregate Chinese equity market index. Though we use a similar
econometric specification, however, we control for BTC returns in
the model. The underlying reason being BTC is the dominant
cryptocurrency with the lion’s share in the market. Thus, BTC is
responsible for significant returns spillover across the
cryptocurrency market (Koutmos, 2018). Hence, the model may be
specified as:
Rat =α+β1 St +β2 (St *D1,t )+β3 (St *D2,t )+β4 BTCt +et

σ2t =γ+δ1 e2t-1 +δ2 σ2t-1 (3)

where, Rat denotes returns on respective Altcoins at time t.

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 To make inferences about the results, we comply with the
definitions of hedge, diversifier and safe haven propounded by Baur and
Lucey (2010). They define hedge to be an investible asset which is
either negatively or uncorrelated with another investible portfolio
instrument on an average. Diversifier is an investible instrument that
is positively (but imperfectly) correlated with another instrument in
the portfolio. Lastly, the safe haven is an instrument that is correlated
negatively with another instrument in the portfolio. In our case, β1
represents the association on an average, whereas β2 represents the
association before the actual occurrence of the crisis. Lastly, β3 is
the association during the crisis period. Thus, it would be
interesting to understand the status of BTC, gold and Altcoins with
respect to the Chinese aggregate and sectoral market indexes. We
also employ the Wald test to examine the equality of the estimated
coefficients. Thus, we can infer whether the BTC/gold-stock
association differs across different market phases. More
specifically, we test two null hypotheses H0: β1 =β3 and H0: β2 =β3 .
The first hypotheses test indicates whether the association on an
average and during the crisis is the same or not. The second
hypotheses test indicates whether the association before the crisis
and during the crisis is the same or not.
4. Empirical results and discussion
4.1. Relationships of the aggregate Chinese equity index with Bitcoin and gold
We study the empirical results and analyse the implications
of the aggregate Chinese equity index with Bitcoin and gold. Table
2 exhibits the estimation results of Eq. 2, which examines the
association between BTC and gold with Chinese equity markets. In
column (1) we report the coefficients of BTC. We observe that on
an average the BTC is negatively associated with MSCI China as
shown by β1 . The coefficient of the sub-period before the
COVID19 outbreak β2 is positively associated. The coefficient of
the sub-period onset the outbreak β3 is negatively related.
However, all these variables are statistically insignificant implying
that BTC served as a weak hedge during the overall period, a
diversifier before the crisis and a weak safe haven onset the crisis.
Further, the Wald test results of the null hypotheses H0: β1 =β3 and
H0: β2 =β3 are statistically insignificant. The results suggest that the
association of BTC with MSCI China for the overall and pre-crisis
period sample remain somewhat stable in the sub-sample onset of
the outbreak. Thus, the BTC offers weak diversification
opportunities for Chinese equity portfolio investors.
In column (2), the results show that gold acts as a strong
hedge during the overall sample period of the study. The

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coefficient β1 is negative and statistically significant at 1% level.
Nevertheless, gold becomes just a diversifier in the pre-crisis sub-
sample and a weak safe haven during the crisis period. The null
hypothesis H0: β1 =β3 is rejected at 10% level of significance
indicating the BTC-gold association on an average and during the
crisis has changed. However, we fail to reject H0: β2 =β3 implying
no statistically significant change in coefficients in the two sub-
samples. Thus, gold is a strong hedge on an average, a diversifier in
the per-crisis period and a weak safe haven during the crisis. On
drawing a comparison between BTC and gold, we would argue that
gold offered better diversification opportunities in general.
INSERT TABLE 2 HERE

4.2. Relationships of Chinese sectoral equity indexes with Bitcoin and gold
In Table 3, we report the estimation results of the extended
sectoral analysis in columns (1)-(10), whereas, for WTI and BCOM,
the results are reported in column (11) and (12). We observe that
on an average, the BTC is a weak hedge to the sectors EN, CD and
TS and remain a diversifier for the rest. The only exception is the
case of BCOM, where it is positive and statistically significant at
1%, and limiting the scope of diversification. However, gold turns
out to be a strong hedge for all the sectors at 1% level of
significance on an average, with the only exception being UT which
is significant at 10% level. Nonetheless, gold is a weak hedge with
respect to WTI and a diversifier to BCOM on an average. During
the crisis period, BTC remains a diversifier for the sector EN and
acts as a weak safe haven in all the cases with exception to BCOM.
BTC turns out to be a strong safe haven for the BCOM, where the
coefficient is negative and significant at 1% level. The null
hypothesis of the Wald test (H0: β1 =β3 ) is rejected only once for
BTC with respect to BCOM, where it is statistically significant at
1% level. This implies a shift in the nature of the relationship on
an average and during the crisis period. In rest of the cases for BTC,
we fail to reject the null hypothesis for equality of coefficients at
different sub-samples. The response of gold is heterogeneous
across the equity sectors, WTI and BCOM. It acts as a mere
diversifier instrument to some sectors (EN, FN and WTI), a strong
safe haven in the case of CS and HC sectors and remains a weak
safe haven for the rest. The significant changes in the association
of gold with equity indexes across the sub-samples are observed in
two cases. First, for the sector EN wherein H0: β1 =β3 is rejected at
5% level as gold becomes a diversifier from a strong hedge. Second,
for sector MT wherein H0: β2 =β3 is rejected at 5% level as gold
becomes a weak safe haven from a weak diversifier.
INSERT TABLE 3 HERE

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4.3. Relationships of the aggregate Chinese equity index with Altcoins
Next, we examine the relationship between Altcoins and
the aggregate Chinese equity market. On average, USDT is a strong
hedge which is negative and significant at 5% level of significance.
The BNB, ADA, XLM and XMR is a weak diversifier since the
coefficients are positive and statistically significant at 1% level. The
rest of the cryptocurrencies remain diversifiers. The coefficient β4
is positive and significant at 1% level, implying significant spillovers
running from BTC to Altcoins. After controlling for BTC, we
observe that BCH, LTC and BNB act as a safe haven during the
crisis period, as they related negatively and statistically significant
at 10% level. The rest of the cryptocurrencies are either weak safe
haven (EOS, ADA, XMR), diversifier (ETH, XRP, USDT, XLM
and DASH) and weak diversifier (NEM). Furthermore, H0: β1 =β3
is rejected for LTC and BNB at 10% and 5% significance level,
respectively. Whereas, is rejected for DASH and NEM at 5% and
10% significance level, respectively. Overall, we posit that the rise
of Altcoin prices can be attributed to soaring BTC prices during
the crisis period.
INSERT TABLE 4 HERE

5. Conclusion
In this study, we contribute to the ongoing debate on the hedging
and safe haven potentials of BTC with reference to the recent
health crisis in China, the COVID19 outbreak. We find that BTC
is a weak hedge during the overall period and a weak safe haven
onset the crisis, thus, offering limited diversification benefits. On
the other hand, gold is a strong hedge on an average; however, it
turns out to be a weak safe haven during the crisis. In the case of
sectoral equity indexes, BTC is a weak hedge, diversifier and a weak
safe haven with the only exception to BCOM. Whereas, the
behaviour of gold is heterogeneous as it is a safe haven for CS and
HC sectors and remain either a weak safe haven or a diversifier for
the rest. Nonetheless, gold turns out to be a strong hedge for all
the sectors on an average. Lastly, we find that only BCH, LTC and
BNB acts as a safe haven during the crisis period. The other
cryptocurrencies are either weak diversifier or weak safe haven.
Thus, the rise in Altcoin prices is majorly due to spillover from
BTC prices.
Therefore, based on our findings, we argue that BTC is a
weak antidote to Chinese equity markets. Nevertheless, BTC turns
out to be a price booster to the Altcoins during the phase of
COVID19 outbreak. Overall, gold convincingly outperforms BTC
in hedging and safe haven perspectives with respect to Chinese
equity markets. Hence, our study supports the second strand of

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literature, the antagonist view concerning the resilience of BTC 11.
Though BTC is a strong safe haven with respect to BCOM, the
inclusion of BTC over gold in the investment portfolio is a matter
of contemplation. The investors must consider the fact that BTC
is associated with certain fiduciary risks, such as one of the basic
features of money is ‘store of value’, which in unprotected or highly
volatile in the case of BTC (Smales, 2018). Besides, BTC is often
prone to cyber-attacks which is another source of concern (Das et
al., 2019; Selmi et al., 2018). Therefore, careful consideration of
investors is sought so that the potential risks of investments in BTC
do not outweigh the probable benefits. As a future course of study,
scholars might analyse and optimize the risk-return relationship in
a portfolio framework during the tranquil and jittery periods to test
the resilience of BTC.
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*****

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List of tables
Table 1. Descriptive statistics
(a) Stock indexes

China EN MT IN CD CS HC FN IT TS UT
Mean 0.052 -0.065 0.036 -0.002 0.112 0.089 0.065 0.007 0.120 0.047 0.002
Median 0.003 -0.007 -0.008 -0.007 0.136 0.018 0.050 -0.002 0.134 0.000 0.007
Maximum 2.728 3.789 3.340 2.679 5.500 4.011 4.581 3.516 5.360 3.283 2.712
Minimum -2.969 -4.602 -4.481 -3.443 -4.392 -2.890 -8.595 -3.228 -5.782 -3.694 -3.189
Std. Dev. 0.996 1.275 1.186 0.951 1.521 1.098 1.680 1.027 1.668 1.171 0.919
Skewness -0.182 -0.066 -0.038 -0.260 -0.047 0.176 -0.640 -0.229 -0.117 0.038 -0.162
Kurtosis 3.277 4.018 3.994 3.843 3.535 3.660 5.039 4.054 3.486 3.581 3.669
Jarque-Bera 2.776 13.967*** 13.173*** 13.006*** 3.910 7.417** 76.796*** 17.499*** 3.853 4.547 7.315**
ADF -15.163*** -15.539*** -15.812*** -15.657*** -16.066*** -17.203*** -16.150*** -16.483*** -15.969*** -15.931*** -18.868***
PP -15.097*** -15.498*** -15.822*** -15.626*** -16.011*** -17.393*** -16.135*** -16.449*** -15.893*** -15.904*** -19.226***
KPSS 0.070 0.056 0.097 0.059 0.062 0.115 0.184 0.045 0.130 0.134 0.061
Observations 318 318 318 318 318 318 318 318 318 318 318

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(b) Commodity indexes
Gold WTI BCOM
Mean 0.081 -0.018 -0.016
Median 0.068 0.114 0.033
Maximum 3.021 56.802 25.799
Minimum -2.179 -56.795 -26.215
Std. Dev. 0.742 6.616 2.482
Skewness 0.447 0.063 -0.102
Kurtosis 5.122 48.992 80.637
Jarque-Bera 70.245*** 28027.380*** 79865.000***
ADF -17.165*** -13.411*** -19.654***
PP -17.169*** -32.134*** -35.184***
KPSS 0.086 0.040 0.057
Observations 318 318 318

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(c) Cryptocurrency indexes
BTC ETH XRP BCH LTC EOS
Mean 0.314 0.300 -0.021 0.319 0.311 0.181
Median 0.109 -0.066 -0.311 -0.129 -0.003 0.134
Maximum 21.096 24.638 22.823 41.255 26.872 26.995
Minimum -16.121 -18.474 -13.462 -27.642 -18.056 -26.900
Std. Dev. 4.230 5.160 4.438 7.015 5.545 6.219
Skewness 0.465 0.365 0.611 1.275 0.826 0.261
Kurtosis 6.915 6.296 6.013 10.200 6.457 6.573
Jarque-Bera 214.548*** 151.040*** 140.064*** 773.140*** 194.466*** 172.810***
ADF -17.849*** -18.168*** -17.498*** -16.120*** -16.518*** -17.640***
PP -17.848*** -18.208*** -17.514*** -16.156*** -16.510*** -17.669***
KPSS 0.133 0.102 0.105 0.096 0.199 0.103
Observations 318 318 318 318 318 318

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 USDT BNB ADA XLM XMR DASH NEM
Mean 0.007 0.529 0.209 -0.162 0.161 0.127 -0.011
Median -0.025 0.229 -0.102 -0.402 0.102 -0.232 0.001
Maximum 2.396 20.263 16.867 26.454 17.231 39.810 22.635
Minimum -1.632 -19.314 -20.836 -16.315 -19.014 -18.711 -18.943
Std. Dev. 0.507 5.279 5.347 5.099 5.168 6.231 5.303
Skewness 0.581 0.123 0.038 0.572 0.179 1.475 0.615
Kurtosis 5.434 4.384 4.306 6.095 4.302 11.003 6.385
Jarque-Bera 96.399*** 26.203*** 22.682*** 144.283*** 24.146*** 963.929*** 171.873***
ADF -23.705*** -16.306*** -17.649*** -15.697*** -18.005*** -15.487*** -17.390***
PP -23.705*** -16.271*** -17.657*** -15.651*** -18.003*** -15.489*** -17.395***
KPSS 0.074 0.415 0.149 0.145 0.108 0.127 0.205
Observations 318 318 318 318 318 318 318
Note: The Table 1 reports the descriptive statistics of the (a) stock, (b) commodity and (c) cryptocurrency indexes. The ADF, PP and KPSS denote Augmented Dickey-Fuller,
Philipps-Perron and Kwiatkowski–Phillips–Schmidt–Shin tests for presence of unit root, respectively. The null hypotheses for ADF and PP tests are the presence of unit root in the
time-series. Whereas, the null hypothesis of KPSS test is the underlying time-series is stationary. **, *** denote statistical significance at 5% and 1% level, respectively.

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Table 2. Estimation results for aggregate Chinese equity index with Bitcoin and gold
BTC Gold

(1) (2)

α 0.191 0.076*

(0.231) (0.041)

β1 -0.0782 -0.201***

(0.290) (0.041)

β2 0.278 0.077

(0.927) (0.175)

β3 -0.226 -0.016

(0.840) (0.087)

γ 5.540*** 0.128**

(1.473) (0.057)

δ1 0.271*** 0.149***

(0.079) (0.050)

δ2 0.443*** 0.591***

(0.135) (0.147)

H0: β1 =β3 0.020 2.810*

H0: β2 =β3 0.180 0.260

Note: The Table 2 reports the results of Eq. (1) estimated as a GARCH process of order (1, 1), which is specified as:
Rt =α+β1 St +β2 (St *D1,t )+β3 (St *D2,t )+et (mean equation), σ2t =γ+δ1 e2t-1 +δ2 σ2t-1 (variance equation). Additionally, Wald
test is performed to test the equality of coefficients for the entire and onset the health crisis period (H0: β1 =β3 ) and
before and onset crisis period (H0: β2 =β3 ). *, **, *** denote statistical significance at 10%, 5% and 1% level,
respectively.

16

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Table 3. Estimation results for Chinese sectoral equity indexes with Bitcoin and gold
EN MT IN

(1) (2) (3)

BTC Gold BTC Gold BTC Gold

α 0.182 0.059 0.239 0.058 0.203 0.059

(0.229) (0.041) (0.231) (0.042) (0.228) (0.041)

β1 -0.184 -0.153*** 0.143 -0.105*** 0.118 -0.187***

(0.182) (0.032) (0.213) (0.033) (0.304) (0.037)

β2 0.458 0.111 -0.689 0.154** -0.506 0.144

(0.636) (0.089) (1.178) (0.074) (1.098) (0.141)

β3 0.412 0.113 -0.0251 -0.034 -0.130 -0.028

(0.700) (0.098) (0.638) (0.081) (0.818) (0.091)

γ 5.475*** 0.019* 5.163*** 0.158*** 5.275*** 0.161***

(1.442) (0.011) (1.518) (0.061) 0.203 (0.057)

δ1 0.276*** 0.051*** 0.239*** 0.160*** 0.252*** 0.167***

(0.081) (0.020) (0.074) (0.051) (0.078) (0.054)

δ2 0.443*** 0.912*** 0.485*** 0.537*** 0.472*** 0.515***

(0.131) (0.034) (0.138) (0.146) (0.138) (0.146)

H0: β1 =β3 0.610 5.650** 0.050 0.530 0.060 2.040

H0: β2 =β3 0.000 0.000 0.026 3.680* 0.080 1.160

CD CS HC

(4) (5) (6)

BTC Gold BTC Gold BTC Gold

α 0.213 0.084** 0.171 0.077* 0.191 0.075*

(0.238) (0.040) (0.227) (0.042) (0.228) (0.042)

β1 -0.201 -0.099*** 0.130 -0.107** 0.0878 -0.085***

(0.173) (0.026) (0.257) (0.043) (0.133) (0.024)

β2 0.657 -0.099 0.246 0.016 0.126 0.051

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 (0.833) (0.190) (0.807) (0.126) (0.542) (0.170)

β3 -0.084 -0.048 -0.323 -0.213** -0.193 -0.142*

(0.496) (0.052) (0.831) (0.099) (0.653) (0.085)

γ 5.544*** 0.124** 5.313*** 0.014** 5.353*** 0.012*

(1.501) (0.054) (1.436) (0.007) (1.462) (0.006)

δ1 0.264*** 0.161*** 0.269*** 0.054*** 0.263*** 0.049***

(0.077) (0.048) (0.081) (0.018) (0.080) (0.017)

δ2 0.444*** 0.596*** 0.459*** 0.921*** 0.460*** 0.932***

(0.135) (0.135) (0.132) (0.026) (0.135) (0.024)

H0: β1 =β3 0.040 0.560 0.230 0.740 0.160 0.380

H0: β2 =β3 0.620 0.070 0.270 2.310 0.150 1.100

FN IT TS

(7) (8) (9)

BTC Gold BTC Gold BTC Gold

α 0.188 0.068* 0.197 0.080* 0.202 0.075*

(0.234) (0.041) (0.228) (0.041) (0.234) (0.041)

β1 0.011 -0.186*** 0.078 -0.101*** -0.006 -0.146***

(0.237) (0.039) (0.158) (0.025) (0.227) (0.036)

β2 0.106 0.098 -0.099 0.052 0.024 0.091

(0.788) (0.129) (0.723) (0.108) (0.619) (0.118)

β3 -0.053 0.002 -0.378 -0.019 -0.363 -0.008

(0.982) (0.101) (0.546) (0.060) (0.729) (0.071)

γ 5.433*** 0.014* 5.204*** 0.135** 5.416*** 0.128**

(1.469) (0.008) (1.474) (0.063) (1.493) (0.055)

δ1 0.266*** 0.051*** 0.253*** 0.139*** 0.263*** 0.147***

(0.080) (0.018) (0.078) (0.047) (0.078) (0.049)

δ2 0.453*** 0.923*** 0.475*** 0.594*** 0.455*** 0.603***

(0.135) (0.029) (0.137) (0.155) (0.137) (0.139)

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 H0: β1 =β3 0.000 2.450 0.560 1.240 0.190 2.140

H0: β2 =β3 0.020 0.380 0.100 0.360 0.180 0.640

UT WTI BCOM

(10) (11) (12)

Bitcoin Gold Bitcoin Gold Bitcoin Gold

α 0.206 0.064 0.187 0.067* 0.190 0.065

(0.225) (0.042) (0.228) (0.040) (0.222) (0.041)

β1 0.272 -0.087* 0.039 -0.020 0.774*** 0.053

(0.362) (0.047) (0.123) (0.018) (0.275) (0.064)

β2 0.298 0.176 -0.052 0.011 -0.828 -0.037

(0.978) (0.138) (0.271) (0.021) (0.857) (0.149)

β3 -0.155 -0.082 -0.057 0.019 -0.834** -0.055

(1.308) (0.160) (0.135) (0.022) (0.330) (0.081)

γ 5.215*** 0.013* 5.44*** 0.173*** 4.847*** 0.015*

(1.486) (0.007) (1.455) (0.063) (1.401) (0.008)

δ1 0.255*** 0.053*** 0.274*** 0.167*** 0.268*** 0.049***

(0.079) (0.019) (0.080) (0.051) (0.079) (0.017)

δ2 0.472*** 0.926*** 0.447*** 0.515*** 0.480*** 0.925***

(0.137) (0.026) (0.134) (0.143) (0.135) (0.026)

H0: β1 =β3 0.090 0.000 0.150 1.060 7.680*** 0.610

H0: β2 =β3 0.080 1.640 0.000 0.240 0.000 0.020

Note: The Table 3 reports the results of Eq. (2) estimated as a GARCH process of order (1, 1), which is specified as:
Rt =α+β1 Sct +β2 (Sct *D1,t )+β3 (Sct *D2,t )+et (mean equation), σ2t =γ+δ1 e2t-1 +δ2 σ2t-1 (variance equation). Additionally,
Wald test is performed to test the equality of coefficients for the entire and onset the health crisis period (H0: β1 =β3 )
and before and onset crisis period (H0: β2 =β3 ). *, **, *** denote statistical significance at 10%, 5% and 1% level,
respectively.

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Table 4. Estimation results for aggregate Chinese equity index with Altcoins
ETH XRP BCH LTC EOS USDT

(1) (2) (3) (4) (5) (6)

α -0.145 -0.203 -0.086 0.134 0.168 -0.004

(0.196) (0.176) (0.226) (0.244) (0.238) (0.028)

β1 0.086 0.204 0.019 0.324 0.335 -0.071**

(0.197) (0.178) (0.224) (0.238) (0.265) (0.029)

β2 -0.400 -0.757 -0.268 -0.966 -0.860 0.167**

(0.861) (0.715) (0.856) (0.991) (1.087) (0.084)

β3 0.100 0.228 -0.877* -0.695* -0.695 0.059

(0.398) (0.342) (0.501) (0.417) (0.565) (0.070)

β4 0.979*** 0.795*** 1.252*** 1.082*** 1.218*** 0.039***

(0.030) (0.025) (0.037) (0.043) (0.038) (0.005)

γ 1.647** 6.747*** 5.708*** 0.356 0.394** 0.139*

(0.777) (1.010) (1.123) (0.281) (0.192) (0.078)

δ1 0.137*** 0.411*** 0.448*** 0.041*** 0.074*** 0.097

(0.048) (0.074) (0.099) (0.012) (0.0155) (0.067)

δ2 0.703*** -0.085 0.316*** 0.933*** 0.905*** 0.272

(0.105) (0.096) (0.084) (0.028) (0.019) (0.369)

H0: β1 =β3 0.000 0.000 1.920 3.120* 1.980 2.230

H0: β2 =β3 0.300 1.700 0.430 0.070 0.020 1.220

BNB ADA XLM XMR DASH NEM

(7) (8) (9) (10) (11) (12)

α 0.102 0.093 -0.570*** 0.009 -0.322 -0.379*

(0.233) (0.202) (0.207) (0.164) (0.198) (0.216)

β1 0.571** 0.497** 0.583*** 0.373** 0.0040 0.362

(0.255) (0.204) (0.151) (0.159) (0.170) (0.267)

β2 -1.342* -0.836 -1.258 -0.942 -1.199* -0.498

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 (0.763) (0.892) (0.921) (0.760) (0.613) (0.935)

β3 -0.863* -0.189 0.011 -0.328 0.436 1.167**

(0.521) (0.456) (0.532) (0.399) (0.620) (0.529)

β4 0.859*** 1.006*** 0.801*** 1.121*** 0.920*** 0.792***

(0.049) (0.039) (0.036) (0.034) (0.046) (0.039)

γ 0.339* 0.428 5.902*** 3.100*** 1.961*** 3.803***

(0.197) (0.294) (1.250) (0.936) (0.421) (1.114)

δ1 0.080*** 0.083** 0.470*** 0.258*** 0.426*** 0.250***

(0.024) (0.033) (0.072) (0.061) (0.091) (0.066)

δ2 0.902*** 0.888*** 0.170* 0.400*** 0.574*** 0.529***

(0.025) (0.047) (0.101) (0.134) (0.052) (0.114)

H0: β1 =β3 4.210** 1.450 0.930 2.060 0.390 1.320

H0: β2 =β3 0.330 0.450 1.510 0.560 3.86** 2.750*

Note: The Table 4 reports the results of Eq. (3) estimated as a GARCH process of order (1, 1), which is specified as:
Rat =α+β1 St +β2 (St *D1,t )+β3 (St *D2,t )+β4 BTCt +et (mean equation), σ2t =γ+δ1 e2t-1 +δ2 σ2t-1 (variance equation).
Additionally, Wald test is performed to test the equality of coefficients for the entire and onset the health crisis period
(H0: β1 =β3 ) and before and onset crisis period (H0: β2 =β3 ). *, **, *** denote statistical significance at 10%, 5% and
1% level, respectively.

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List of figures

100000 83

90000

78
80000

70000
73

60000

68
50000

40000
63

30000

20000 58
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Bitcoin MSCI China

Figure 1. Time-series plot of Bitcoin (BTC) and MSCI China

Note: The red dotted line indicates the start of crisis period.

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2500
2300
2100
1900
1700
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1300
1100
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500
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(a) Ethereum (ETH)

3.5

2.5

1.5

1
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(b) Ripple (XRP)

3900

3400

2900

2400

1900

1400

900

400
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(c) Bitcoin (BCH)

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1100
1000
900
800
700
600
500
400
300
200
100
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(d) Litecoin (LTC)

70

60

50

40

30

20

10
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(e) EOS (EOS)

7.3

7.2

7.1

6.9

6.8

6.7

6.6
27-11-2018 27-01-2019 27-03-2019 27-05-2019 27-07-2019 27-09-2019 27-11-2019 27-01-2020

(f) Tether (USDT)

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 300

250

200

150

100

50

0
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(g) Binance Coin (BNB)

0.76

0.66

0.56

0.46

0.36

0.26

0.16
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(h) Cardano (ADA)

1.4

1.2

0.8

0.6

0.4

0.2
27-11-2018 27-01-2019 27-03-2019 27-05-2019 27-07-2019 27-09-2019 27-11-2019 27-01-2020

(i) Stellar (XLM)

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 900

800

700

600

500

400

300

200
27-11-2018 27-01-2019 27-03-2019 27-05-2019 27-07-2019 27-09-2019 27-11-2019 27-01-2020

(j) Monero (XMR)

1400

1200

1000

800

600

400

200
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(k) DASH (DASH)

0.8

0.7

0.6

0.5

0.4

0.3

0.2
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(l) NEM (NEM)

Figure 2. Time-series plot of Altcoins
Note: The red dotted lines indicate the start of crisis period.

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 460

440

420

400

380

360

340

320

300

280
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(a) WTI Crude oil futures (WTI)

580

570

560

550

540

530

520

510
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(b) Bloomberg Commodity index (BCOM)

Figure 3. Time-series plot of WTI crude oil futures (WTI) and Bloomberg Commodity index
(BCOM)
Note: The red dotted lines indicate the start of crisis period.

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 Nov. 27, 2018 – Nov. 14, 2019 (252 trading days) Nov. 15 – Dec. 31, 2019 Jan. 1 – Feb. 14, 2020

Figure 4. Graphic depiction of study-period timeline

*****……….*****

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