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Going Beyond Gold: Can Equities be Safe-Haven?

Author

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  • Parthajit Kayal

    ((Corresponding author), Madras School of Economics, Chennai, India)

  • Janani Sri SG

    (Indian Institute of Management Bangalore)

Abstract

Popular investment choice like fixed income, gold, and real estate has generated low returns over long horizons. Equity seems to have performed much better despite its’ inherent risk. Although, investors prefer safe-haven assets, they are increasingly moving to equities in search for better returns. We consider whether equity could be a safe-haven investment if chosen from quality stocks’ basket. We examine the safe-haven and hedging properties of the Nifty-50 constituent stocks over the period 2008–2020. To address this, we employ copula-based framework to model the dependence structure between stocks and five indices. We distinguish between safe-haven attributes and hedging features of the individual stocks. We show that the safe-haven properties of the Nifty-50 listed stocks are not as concentrated as gold but they show much low co-movement with the market. We call them pseudo–safe-haven as they are the safe-bets for investors seeking relatively safe-haven assets with impressive returns.

Suggested Citation

  • Parthajit Kayal & Janani Sri SG, 2020. "Going Beyond Gold: Can Equities be Safe-Haven?," Working Papers 2020-203, Madras School of Economics,Chennai,India.
    • Handle: RePEc:mad:wpaper:2020-203
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    More about this item

    Keywords

    Safe-haven; Hedging; Copula;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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