Going Beyond Gold: Can Equities be Safe-Haven?

Parthajit Kayal () and Janani Sri Sg
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Parthajit Kayal: (Corresponding author), Madras School of Economics, Chennai, India
Janani Sri Sg: Indian Institute of Management Bangalore

Working Papers from Madras School of Economics,Chennai,India

Abstract: Popular investment choice like fixed income, gold, and real estate has generated low returns over long horizons. Equity seems to have performed much better despite its’ inherent risk. Although, investors prefer safe-haven assets, they are increasingly moving to equities in search for better returns. We consider whether equity could be a safe-haven investment if chosen from quality stocks’ basket. We examine the safe-haven and hedging properties of the Nifty-50 constituent stocks over the period 2008–2020. To address this, we employ copula-based framework to model the dependence structure between stocks and five indices. We distinguish between safe-haven attributes and hedging features of the individual stocks. We show that the safe-haven properties of the Nifty-50 listed stocks are not as concentrated as gold but they show much low co-movement with the market. We call them pseudo–safe-haven as they are the safe-bets for investors seeking relatively safe-haven assets with impressive returns.

Keywords: Safe-haven; Hedging; Copula (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2020-09
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