Gold and Bitcoin are Safe-haven? Evidence from Developed and Emerging Market Indices During the COVID-19 Bear Market

Hana Belhadj and Salah Ben Hamad

Chapter 5 in COVID-19 Pandemic and Energy Markets:Commodity Markets, Cryptocurrencies and Electricity Consumption under the COVID-19, 2021, pp 55-86 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In this study, we compare the role and the safe-haven properties of bitcoin and gold against developed and emerging market indices during extreme market conditions as the COVID-19 crisis. We explore the effects of adding bitcoin and gold to an optimal portfolio by relying Sharpe ratio and genetic algorithm approach. We use a stochastic dominance approach to compare the performance of portfolios for each scenario. The results show that by adding bitcoin, the portfolio performance improves only during the sovereign debt crisis. However, during the non-crisis period and during the COVID-19 crisis, the portfolios with and without bitcoin do not dominate, this shows that bitcoin does not act as a safe-haven. However, our results affirm the safe-haven nature of gold during the COVID-19 crisis.

Keywords: COVID-19; Vaccines; ANCOVA; Carbon Emissions; Natural Gas; Crude Oil; Market Co-Movement; Cryptocurrencies; CO2 Emissions; Financial Volatility; VIX; Bitcoin; Gold Oil Price War; Health Crisis; S&P GS Commodity Index; Consumption of Electricity; The Behavior of Electricity Consumption; Social Interactivity; Flow State; Energy Consumption Culture; Life Style; Teleworking; De-globalization; Eating Habits (search for similar items in EconPapers)
JEL-codes: Q43 Q5 (search for similar items in EconPapers)
Date: 2021
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