IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?

Abstract

This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.