Are there any other safe haven assets? Evidence for “exotic” and alternative assets

Dimitrios Dimitriou (), Dimitris Kenourgios and Theodore Simos ()

International Review of Economics & Finance, 2020, vol. 69, issue C, 614-628

Abstract: This paper empirically investigates the existence of possible safe haven properties across “exotic” and alternative asset classes during the Global Financial Crisis (GFC) and Eurozone Sovereign Debt Crisis (ESDC). We extend the existent safe haven literature by focusing on a new dataset into a dynamic framework, which takes into account the fractional structure of the assets and is suitable to identify their recursive relationship, as well as the specific points in calendar time at which the assets act as safe havens. The main results indicate that the safe haven hypothesis is accepted for gold along with wine, commodities, crude oil and shipping index, although across different turmoil periods. On the other hand, real estate seems to display signs of contagious pattern during the last decades’ turmoil period, while rare coins show some weak evidence of contagious behavior at the beginning of GFC. These results imply that investors and portfolio managers should search for “new” safe haven assets during a turbulent and ultra-low interest rate period in order to improve their portfolio diversification strategies.

Keywords: Safe haven; “Exotic” assets; Alternative assets; Fractionally cointegrated VAR (FC-VAR); Wavelet coherence (search for similar items in EconPapers)
JEL-codes: C14 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:69:y:2020:i:c:p:614-628

DOI: 10.1016/j.iref.2020.07.002

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