In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types

Mustafa Disli, Ruslan Nagayev, Kinan Salim, Siti K. Rizkiah and Ahmet Aysan

Research in International Business and Finance, 2021, vol. 58, issue C

Abstract: This study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the COVID-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the COVID-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.

Keywords: Equities; Commodities; Bitcoin; Oil; Gold; Spillover; Interconnectedness; COVID-19; Pandemic; Investment portfolio (search for similar items in EconPapers)
JEL-codes: C58 E42 G11 G15 Q31 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000829

DOI: 10.1016/j.ribaf.2021.101461

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