Did COVID-19 change spillover patterns between Fintech and other asset classes?

Area of Science:

• * Financial Economics
• * Quantitative Finance
• * Financial Technology (Fintech)

Background:

• * The COVID-19 pandemic created unprecedented global economic uncertainty.
• * Understanding asset interdependencies is crucial for financial risk management.
• * Financial technology (Fintech) assets represent a growing but volatile market segment.

Purpose of the Study:

• * To analyze the spillover effects between financial technology (Fintech) stocks and traditional financial assets during the COVID-19 crisis.
• * To investigate the dynamic relationship between asset classes under extreme market conditions.
• * To assess the safe-haven properties of gold and the US Dollar versus the volatility of Fintech and Bitcoin.

Main Methods:

• * Utilized daily financial data spanning from June 2019 to August 2020.
• * Employed time-series analysis to measure volatility transmission and spillover effects.
• * Examined correlations and dynamic conditional correlations between asset returns.

Main Results:

• * The COVID-19 outbreak significantly increased volatility spillovers across all examined asset classes.
• * Declining global COVID-19 cases correlated with reduced intensity of inter-asset volatility spillovers.
• * The US Dollar (USD) and gold demonstrated safe-haven characteristics, absorbing shocks effectively.
• * Financial technology index (KFTX) and Bitcoin exhibited high susceptibility to external shocks and increased volatility.

Conclusions:

• * The COVID-19 pandemic highlighted the distinct risk profiles of different asset classes.
• * Traditional safe-haven assets like the USD and gold proved resilient during the crisis.
• * Fintech assets and Bitcoin displayed higher risk and vulnerability to market shocks.
• * The study underscores the enduring stability of the USD and gold during severe global disruptions.