Time-varying market efficiency of safe-haven assets

Ugochi C. Okoroafor and Thomas Leirvik

Finance Research Letters, 2023, vol. 56, issue C

Abstract: This study investigates the hedge and safe-haven possibilities with bitcoin, gold and crude oil in different equity markets in the presence of time-varying market inefficiency. Our results indicate that periods of market inefficiency for the Bitcoin, gold and crude oil price positively influence their function as a hedge asset for the equity markets of Japan, China, the US, Europe and emerging countries. In addition to contributing to the discussion on the factors which affect the functioning of safe-haven assets, the empirical findings of this study further highlight the importance of market efficiency as a market microstructure feature. These results have important implications for investors seeking to manage risk through diversification across different asset classes.

Keywords: Safe-haven; Market efficiency; Bitcoin; Gold; Crude oil (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323003963

DOI: 10.1016/j.frl.2023.104024

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