SAFE HAVEN ASSETS: ARE THEY STILL SAFE DURING COVID-19 PANDEMIC PERIOD?

Musaed S. AlAli

Abstract


During political, financial, and economic turmoil periods investors tend to flee toward what is called safe haven assets such as gold, Swiss franc and lately, Bitcoin. While previous literature supports such assumption, these studies were based on crises that faced certain geographic locations. The coronavirus pandemic on the other hand is a global crisis that affects the whole world. This study aims to examine the validity of the assumption that the Swiss franc, gold, and Bitcoin would still act as safe haven assets during Covid-19 pandemic period. Results obtained from this study shows that Swiss franc, gold had a positive returns during the study period which is in line with safe haven assets characteristics, but these returns were not caused by the stock markets negative returns. Bitcoin on the other hand showed negative returns during the study period and statistically significant positive relation with S&P 500 returns indicating that Bitcoin cannot be used as a safe haven asset.

 

JEL: G10; G11; G15

 

Article visualizations:

Hit counter

DOI

Keywords


COVID-19, Coronavirus, safe haven assets, financial crisis, economic crisis, stock markets performance, pandemic period

Full Text:

PDF

References


Auer, Raphael. (2015). A safe haven: international demand for Swiss francs during the Euro Area debt crisis, SNB Quarterly Bulletin, No 2015.Q2, Swiss National Bank.

Baur, D. G., Lucey, B. M. (2010). Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold. Financial Review, 45(2), 217–229.

Baur, D. G., McDermott, T. K. (2010). Is Gold a Safe Haven? International Evidence. Journal of Banking and Finance, 34(8), 1886–1898.

Bouri, E., P. Molnár, G. Azzi, D. Roubaud, and L. I. Hagfors. (2017). On the hedge and safe haven properties of bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192–198.

Dyhrberg, A. H. (2015). Hedging capabilities of Bitcoin. Is it the virtual gold?, Finance Research Letters, 16, 139–144.

Fatum, R., Yamamoto, Y. (2016). Intra-safe Haven Currency Behavior during the Global Financial Crisis, Journal of International Money and Finance, 66, 49–64.

Gorton G and G. Rouwenhorst. (2006). Facts and fantasies about commodity futures, Financial Analysts Journal, 62, 47-68.

Hossfeld, O., MacDonald, R. (2015). Carry Funding and Safe Haven Currencies: A Threshold Regression Approach, Journal of International Money and Finance, 59, 185–202.

IMF (2012). Article IV staff report on Switzerland, International Monetary Fund.

Klein, A. (1998). Firm performance and board committee structure, The Journal of Law and Economics, 41 (1), 275-304.

McCown J. R., Zimmerman J. R. (2006). Is gold a zero-beta asset? Analysis of the investment potential of precious metals. Available from SSRN: http: // ssrn.com/ abstract= 920496 .

Molnár, P., Vagstad, K. and Valstad, O. C. A. (2015). A bit risky? A comparison between Bitcoin and other assets using an intraday value at risk approach, Working Paper, available at: http://www.diva-portal.org/smash/get/diva2:742882/fulltext01.pdf.

Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system, available at: https://bitcoin.org/bitcoin.pdf.

Ranaldo, A., and Soederlind, P. (2010). Safe Haven Currencies, Review of Finance, 14(3), 385-407.

Yermack, D. (2013). Is Bitcoin a real currency? An economic appraisal, Working Paper No. w19747, National Bureau of Economic Research, available at: http://www.nber.org/papers/w19747.pdf.




DOI: http://dx.doi.org/10.46827/ejefr.v0i0.795

Refbacks

  • There are currently no refbacks.


Copyright (c) 2020 Musaed S. AlAli

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

The research works published in this journal are free to be accessed. They can be shared (copied and redistributed in any medium or format) and\or adapted (remixed, transformed, and built upon the material for any purpose, commercially and\or not commercially) under the following terms: attribution (appropriate credit must be given indicating original authors, research work name and publication name mentioning if changes were made) and without adding additional restrictions (without restricting others from doing anything the actual license permits). Authors retain the full copyright of their published research works and cannot revoke these freedoms as long as the license terms are followed.

Copyright © 2015 - 2018. European Journal of Economic and Financial Research (ISSN 2501-9430) is a registered trademark of Open Access Publishing GroupAll rights reserved.

This journal is a serial publication uniquely identified by an International Standard Serial Number (ISSN) serial number certificate issued by Romanian National Library. All the research works are uniquely identified by a CrossRef DOI digital object identifier supplied by indexing and repository platforms. All the research works published on this journal are meeting the Open Access Publishing requirements and standards formulated by Budapest Open Access Initiative (2002), the Bethesda Statement on Open Access Publishing (2003) and  Berlin Declaration on Open Access to Knowledge in the Sciences and Humanities (2003) and can be freely accessed, shared, modified, distributed and used in educational, commercial and non-commercial purposes under a Creative Commons Attribution 4.0 International License. Copyrights of the published research works are retained by authors.