Testing for asymmetric non-linear short- and long-run relationships between crypto-currencies and stock markets

Using the NARDL model for period of pandemic COVID19, we examined asymmetric relationship between six crypto-currencies (Bitcoin, Litecoin, Bitcoin gold, Dash, Maker, and Ehereum) seven stock market prices (S&P500, CAC40, DAX30, NIKKEI, FTSE, FTSEMIB, SPTSX) accounting effects Gold WTI prices. In long run, our results revealed, in most cases, a positive digital financial assets, suggesting weak safe haven role crypto-currencies. The oil price (WTI) was also found to act as diversifier. However, for, negative yellow metal different prices, that gold can good hedging instrument or against run. On other hand, short indicate only Bitcoin, Maker have an effect on chosen but is cases. Moreover, hedge/safe-haven asset Finally, while examining dynamic response shocks crypto-currencies, concluded majority respond more than ones.