In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types.
In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types.
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DOI：
10.1016/j.ribaf.2021.101461
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发表时间：
2021-12
影响因子：
6.5
通讯作者：
Aysan, Ahmet F.
中科院分区：
文献类型：
--
作者：
Disli, Mustafa;Nagayev, Ruslan;Salim, Kinan;Rizkiah, Siti K.;Aysan, Ahmet F.
关键词：
这项研究评估了黄金，原油和加密货币在COVID-19大流行危机期间作为传统，可持续和伊斯兰投资者的避风港的作用。本研究利用小波相干分析和溢出指数方法，在二元和多元的设置，这些资产的相关性，为不同的投资视野。研究结果表明，在COVID-19爆发之前，黄金、石油和比特币在几乎所有考虑的投资范围内与每个股票指数的一致性都很低。相反，随着疫情的爆发，金融资产之间的回报溢出更加强烈，并且观察到各股票指数与对冲资产之间存在显著的成对回报联系。因此，黄金、石油和比特币并没有表现出避险特征。然而，通过将随时间变化的共同运动分解为不同的投资视野，我们发现资产之间的总体和成对联系主要是由更高的频段（最多4天）驱动的。这表明投资者在更长的时间内有黄金，石油和比特币的多元化机会。结果在不同类型的股票投资者（传统，可持续和伊斯兰）和各种投资范围内都是稳健的。
This study assesses the role of gold, crude oil and cryptocurrency as a safe haven for traditional, sustainable, and Islamic investors during the COVID-19 pandemic crisis. Using Wavelet coherence analysis and spillover index methodologies in bivariate and multivariate settings, this study examines the correlation of these assets for different investment horizons. The findings suggest that gold, oil and Bitcoin exhibited low coherency with each stock index across almost all considered investment horizons until the onset of the COVID-19. Conversely, with the outbreak of the pandemic, the return spillover is more intense across financial assets, and a significant pairwise return connectedness between each equity index and hedging asset is observed. Hence, gold, oil, and Bitcoin do not exhibit safe-haven characteristics. However, by decomposing the time-varying co-movements into different investment horizons, we find that total and pairwise connectedness among the assets are primarily driven by a higher-frequency band (up to 4 days). It indicates that investors have diversification opportunities with gold, oil, and Bitcoin at longer horizons. The results are robust over different types of equity investors (traditional, sustainable, and Islamic) and various investment horizons.
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