The relationship between global risk aversion and returns from safe-haven assets

Zaghum Umar, Ahmed Bossman, Sun-Yong Choi and Tamara Teplova

Finance Research Letters, 2023, vol. 51, issue C

Abstract: We investigate the relationship between global risk aversion and safe-haven assets using the causality-in-quantiles test and the quantile-on-quantile regression method. Our empirical results show the predictability of global risk aversion on the returns of safe-haven assets. Furthermore, we find that several assets have consistent safe haven attributes regardless of the level of global risk aversion, while gold and Bitcoin cannot be considered consistent safe havens. Based on these findings, non-cash flow-induced shocks are not only an important predictor of asset returns but also their relevance cuts across general financial markets.

Keywords: Global risk aversion; Safe-haven; Causality-in-quantiles; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: C58 G15 G23 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006213

DOI: 10.1016/j.frl.2022.103444

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