Bitcoin in a Pandemic : Did COVID-19 cases or other factors affect Bitcoin’s return during the pandemic and did Bitcoin provide diversification benefits during this period?
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- Master Thesis 
This master’s thesis examines if Bitcoin’s return was affected by COVID-19 cases or other factors during the pandemic and the diversification benefits of Bitcoin in European, welldiversified portfolios during this period. The OLS was utilized to analyze the relationship between Bitcoin’s return and the chosen variables and the time period was divided into four periods that represented the four waves of COVID-19 cases. This study found no significant effect of COVID-19 cases on Bitcoin. However, Bitcoin was significantly impacted during the first wave by the 5-Year, 5-Year Forward Inflation Expectation Rate, VIX, and gold. In the second wave, VIX, gold, and the dollar had a significant impact on Bitcoin. Only VIX had a significant impact on Bitcoin in the third wave. Lastly, in the fourth wave, no variables had a significant impact on Bitcoin. Further, this study investigates well-diversified portfolios with and without Bitcoin during the pandemic. The results suggest that Bitcoin did provide diversification for the risk-seeking investor, but not for the risk-averse investor. Lastly, this study found through the Fama-French Five-Factor Model that the portfolio returns were not only exposed to the market risk factor, but also the size, value, and profitability factor.