COVID-19 pandemic: revisiting the safe haven assets

Musa C. Dasauki, Olusola B. Oluwalaiye, Jerry D. Kwarbai and Jesudara E. Oyesiji

Global Business and Economics Review, 2023, vol. 28, issue 2, 175-194

Abstract: Different assets behave differently during different economic situations and investors are constantly searching for safe assets to hold and avoid volatile assets to hedge against risk. The study considered 13 safe haven assets across the world's largest economies during the COVID-19 pandemic. The GARCH (1,1) and the threshold GARCH models were applied. The results obtained from the model estimation test showed that COVID-19 and oil price had a negative effect on some safe haven assets. International stock has less volatility. The result also revealed that crypto currencies (Bitcoin, Tether, Etherium), stocks (Shanghai stock exchange), currencies (US dollars, Swiss franc, and pounds), precious metal (silver) and government securities (T-bond and T-bill) were less volatile but COVID-19 pandemic triggered higher volatility on precious metal (gold) and stocks (S%P500, CAC40).

Keywords: asymmetry; cryptocurrency; metals; stock; volatility. (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=128834 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:28:y:2023:i:2:p:175-194

Access Statistics for this article

More articles in Global Business and Economics Review from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().