Theoretical and Applied Economics
No. 3 / 2024 (640), Autumn
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
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.
Contents
Evaluating the International Financial Reporting Standards (IFRS) adoption in developing countries: an institutional theory review
Analyzing the impact of oil price fluctuations on economic growth in Algeria: an empirical study
Impact of population cycle on income sharing pattern of a capitalistic society
Understanding users' behavioral intention to use artificial intelligence for personal financial management: an innovation diffusion theory approach
Financial stability and monetary policy rules: evidence from Tunisia
The transfer between the spending habits of different generations-a debate between retail and E-commerce
Planning for economic integration: addressing trade challenges posed by the Ukraine-Russia conflict in Europe
Dynamics of the interplay between economic complexity, governance and economic growth in the BRICS countries: a panel GMM approach
The relevance of theories of foreign direct investment to mergers and acquisitions in Africa
The impact of employment in industry on income inequality in Great Britain
Structural transformation, poverty, and inequality in emerging countries
How work works for the new generations?
Assessing the nexus between market openness and economic growth: an emerging market perspective
The relationship between access to electricity, CO2 emissions, and economic growth in BRICS
Social aspects of the informal economy: evidence from EU countries
Tracing the path: testing the environmental Kuznets Curve in Algeria using ARDL bounds testing
Dynamic interactions among selected world stock indices: a VAR approach
Boosting human capital: how the COVID-19 pandemic accelerated agile methodology adoption in software development
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
Financial contagion and the circular economy paradigm: opportunities and challenges for Romania
The circular economy in Romania: a bibliometric study of innovation and sustainable practices