Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach

The study investigates the safe haven properties and sustainability of top five cryptocurrencies (Bitcoin, Ethereum, Dash, Monero, Ripple) gold for BRICS stock markets during COVID-19 crisis period from 31 January 2020 to 17 September in comparison precrisis 1 2016 30 2020, a nonlinear asymmetric framework using Nonlinear Autoregressive Distributed Lag (NARDL) methodology. Our results show that relationship dynamics market cryptocurrency returns both short long run are changing period, which justifies our model. As far as sustainable is concerned, Dash Ripple found be all before pandemic. However, three emerging markets, such Brazil, China, Russia, financial crisis. In comparative framework, suitable only Brazil Russia. have implications index fund managers include their portfolio assets protect its value