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Time-varying market efficiency of safe-haven assets

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  • Okoroafor, Ugochi C.
  • Leirvik, Thomas

Abstract

This study investigates the hedge and safe-haven possibilities with bitcoin, gold and crude oil in different equity markets in the presence of time-varying market inefficiency. Our results indicate that periods of market inefficiency for the Bitcoin, gold and crude oil price positively influence their function as a hedge asset for the equity markets of Japan, China, the US, Europe and emerging countries. In addition to contributing to the discussion on the factors which affect the functioning of safe-haven assets, the empirical findings of this study further highlight the importance of market efficiency as a market microstructure feature. These results have important implications for investors seeking to manage risk through diversification across different asset classes.

Suggested Citation

  • Okoroafor, Ugochi C. & Leirvik, Thomas, 2023. "Time-varying market efficiency of safe-haven assets," Finance Research Letters, Elsevier, vol. 56(C).
    • Handle: RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323003963
    DOI: 10.1016/j.frl.2023.104024
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    2. Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).

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    More about this item

    Keywords

    Safe-haven; Market efficiency; Bitcoin; Gold; Crude oil;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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