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Do gold, oil and bitcoins possess safe heaven attributes in times of crisis? Empirical evidence using a wavelet-based time-frequency dependency approach from the pandemic to the Russia–Ukraine crisis

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  • Akshay SAKHARKAR

    (Government College of Arts & Commerce, India)

Abstract

pandemic and the geopolitical tension resulting from the Russia-Ukraine war, the present study examines the existence of safe haven attributes of gold, oil and bitcoins against equities from five major countries i.e. US, China, India, Europe and Japan. Using daily observations from 1st January, 2020 to 31st December, 2023 and the wavelet coherence methodology the study finds persistent and strong correlations between gold, oil, and bitcoin returns vis-à-vis stock returns during periods of tranquility and turmoil. Gold exhibits safe haven features only over a long-term investment horizon, acting as a portfolio diversifier against stock market risk in short-term and medium-term periods. Both oil and bitcoins, on the contrary, are highly correlated with equities, suggesting they are viable diversifiers in turmoil and as hedges, but not as safe havens to mitigate stock market risk. Nevertheless, under normal circumstances, all examined assets possess the capacity to function as hedging assets and diversifiers against equities across different investing horizons.

Suggested Citation

  • Akshay SAKHARKAR, 2024. "Do gold, oil and bitcoins possess safe heaven attributes in times of crisis? Empirical evidence using a wavelet-based time-frequency dependency approach from the pandemic to the Russia–Ukraine crisis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(640), A), pages 253-266, Autumn.
  • Handle: RePEc:agr:journl:v:xxxi:y:2024:i:3(640):p:253-266
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