Is there one safe-haven for various turbulences? The evidence from gold,Bitcoin and Ether |
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| Institution: | 1. Montpellier Business School, Montpellier, France;2. USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon;3. Center for Energy and Sustainable Development, Montpellier Business School, Montpellier, France;4. Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic;5. Institute of Information Theory and Automation, Czech Academy of Sciences, Prague, Czech Republic;6. Trinity Business School, Trinity College Dublin, Dublin, Ireland;1. University of Duisburg-Essen, Department of Economics, Chair for Macroeconomics, D-45117 Essen, Germany;2. Kiel Institute for the World Economy, Hindenburgufer 66, D-24105 Kiel, Germany;3. University of Bremen, Department of Business Administration, Chair for Applied Statistics and Empirical Economics, D-28359 Bremen, Germany;4. University of Duisburg-Essen, Department of Economics, Chair for Econometrics, D-45117 Essen, Germany;5. FOM Hochschule für Oekonomie & Management, University of Applied Sciences, Herkulesstr. 32, D-45127 Essen, Germany;1. Holy Spirit University of Kaslik (USEK), USEK Business School, Jounieh, Lebanon;2. Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management, Trondheim, Norway;3. Holy Spirit University of Kaslik (USEK), USEK Business School, Jounieh, Lebanon;4. Montpellier Business School, 2300 Avenue des Moulins, 34080 Montpellier, France;5. Norwegian University of Science and Technology, Department of Industrial Economics and Technology Management, Trondheim, Norway;1. IRMAPE, ESC Pau Business School, France;2. CATT, University of Pau, France;3. Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia;4. Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman;5. Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States;6. Energy and Sustainable Development (ESD), Montpellier Business School, Montpellier, France |
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| Abstract: | This paper aims to investigate the safe-haven properties of gold and two cryptocurrencies, Bitcoin and Ether. Safe havens are the financial assets that allow investors to protect their portfolios within the market turmoil. The research sample covers five years and includes several downturns on the financial markets, starting from the Chinese stock market turbulences in 2015/2016 and ending up with the recent pandemic outbreak in 2020. We find that only gold used to be a strong safe-haven against the stock market indices. Yet, this property evaporated during the crisis caused by the COVID pandemic. Occasionally, cryptocurrencies could have been considered weak safe-havens against the examined instruments. Ether acted more often as a weak safe-haven against DAX or S&P500, while Bitcoin played this role against FTSE250, STOXX600 and S&P500. |
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| Keywords: | Liquidity Volatility Bitcoin Ether Cryptocurrencies Gold Stock market Stochastic volatility |
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