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Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500

Author

Listed:
  • Imran Yousaf

    (School of Management, Air University, Islamabad, Pakistan)

  • Vasilios Plakandaras

    (Department of Economics, Democritus University of Thrace, Komotini, 69100, Greece)

  • Elie Bouri

    (School of Business, Lebanese American University, Lebanon)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

Abstract

The sudden market crash of 20 February 2020 arising from the COVID-19 pandemic has accelerated the digitalization phenomenon and revived the interest for risk mitigation during stress periods. In this paper, we examine the hedging, diversifying, and safe haven properties of gold, U.S. treasury bonds, Bitcoin, and Dollar/CHF for the FAANA (Facebook, Apple, Amazon, Netflix, and Alphabet) stocks and the S&P 500 index. FAANA exhibited positive returns with remarkable resilience throughout the pandemic period, suggesting a change in their investing character from risk to riskless assets. In our approach we examine both an extended sample period and an alternate focused evaluation of heightened uncertainty periods during the recent pandemic period. Furthermore, we estimate the optimal weights, hedge ratios, and hedging effectiveness for the pairs of stock and alternative assets (gold, US treasury, Bitcoin, and Dollar/CHF) during the full sample period and the COVID-19 pandemic period. Our empirical findings suggest that FAANA, once thought as risky high growth tech stocks, have matured and become a safe blanket during the latest turbulent period. onal convergence, related to the evolution of gaps in real GDP per capita, long-term interest rates and population growth across countries.

Suggested Citation

  • Imran Yousaf & Vasilios Plakandaras & Elie Bouri & Rangan Gupta, 2022. "Hedge and Safe Haven Properties of Gold, US Treasury, Bitcoin, and Dollar/CHF against the FAANA Companies and S&P 500," Working Papers 202227, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202227
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    : Safe haven assets; Hedging; Diversification; FAANA stocks; COVID-19 outbreak;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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