The spread of the coronavirus has reduced the value of stock indexes, depressed energy and metals commodities prices including oil, and caused instability in financial markets around the world. Due to this situation, investors should consider investing in more secure assets, such as real estate property, cash, gold, and crypto assets. In recent years, among secure assets, cryptoassets are gaining more attention than traditional investments. This study compares the Bitcoin market, the gold market, and American stock indexes (S&P500, Nasdaq, and Dow Jones) before and during the COVID-19 pandemic. For this purpose, the dynamic conditional correlation exponential generalized autoregressive conditional heteroskedasticity model was used to estimate the DCC coefficient and compare this model with the artificial neural network approach to predict volatility of these markets. Our empirical findings showed a substantial dynamic conditional correlation between Bitcoin, gold, and stock markets. In particular, we observed that Bitcoin offered better diversification opportunities to reduce risks in key stock markets during the COVID-19 period. This paper provides practical impacts on risk management and portfolio diversification.

中文翻译：

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COVID-19 大流行期间比特币、黄金和美国股市波动之间的关系：来自 VAR-DCC-EGARCH 和 ANN 模型的证据

冠状病毒的传播导致股指下跌，石油等能源和金属大宗商品价格下跌，并导致全球金融市场不稳定。鉴于这种情况，投资者应考虑投资更安全的资产，例如房地产、现金、黄金和加密资产。近年来，在安全资产中，加密资产比传统投资更受关注。本研究比较了 COVID-19 大流行之前和期间的比特币市场、黄金市场和美国股指（S&P500、纳斯达克和道琼斯）。为此，使用动态条件相关指数广义自回归条件异方差模型来估计 DCC 系数，并将该模型与人工神经网络方法进行比较，以预测这些市场的波动性。我们的实证研究结果表明，比特币、黄金和股票市场之间存在显着的动态条件相关性。特别是，我们观察到比特币提供了更好的多元化机会，以降低 COVID-19 期间主要股票市场的风险。本文提供了对风险管理和投资组合多元化的实际影响。