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Using a GED-GARCH model to estimate monthly data from January 1990 to February 2022, we test whether gold acts as a hedge or safe haven asset in 10 countries. With a downturn of the stock market, gold can be viewed as a hedge and safe haven asset in the G7 countries. In the case of inflation, gold acts as a hedge and safe haven asset in the United States, United Kingdom, Canada, China, and Indonesia. For currency depreciation, oil price shock, economic policy uncertainty, and US volatility spillover, evidence finds that gold acts as a hedge and safe haven for all countries.

This study analyses the impact of economic and trade policy uncertainty on US and Chinese stock markets. Also, this study examines the hedge and safe-haven properties of US and China stocks against both US and Chinese economic and trade policy uncertainty.

To achieve the desired goals, the authors employ Dynamic Conditional Correlation through Glosten et al. (1993) model based on the Generalized Autoregressive Conditional Heteroscedasticity (DCC-GJR-GARCH (1, 1)) and Quantile cross-spectral (QS) models. The study uses monthly observations spanning from March 2010 to June 2022.

This study evidence that the economic and trade policy uncertainty between USA and China is extremely sensitive and has high volatility clustering effects on DJChina88 and DJUS, respectively. Conversely, against the Chinese economic and trade policy uncertainty, the US stock market indexes show both hedging properties across the period and safe-haven during COVID-19 and Russia–Ukraine crises. In contrast, among the Chinese stock markets, only DJShenzhen and DJShanghai stock indices might provide strong hedging and safe-haven properties against the US economic and trade policy uncertainties; however, DJShenzhen (DJChina88) stock shows weak hedge and safe-haven properties (hedging benefits) against Chinese trade policy uncertainty (CTPU) (Chinese economic policy uncertainty [CEPU]).

The findings have significant implications for investors, portfolio managers and regulators in hedging and making proper decisions under uncertain circumstances.

The study extends the literature on stock market performance to cover the economic and trade policy uncertainty by providing novel evidence during the recent COVID-19 and Russia–Ukraine invasion.

This paper aims to investigate the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus, which are the USA, Brazil, the UK, Italy, Spain, Germany, France, Russia, China and Malaysia.

This research uses the Ratner and Chiu (2013) methodology based on the dynamic conditional correlation models to improve Baur and McDermott (2010). The authors adopt a careful investigation of the features of a diversifier, hedge and safe haven using the dynamic conditional correlation–GARCH and quantile regression models.

Empirical results indicate that Islamic indexes are not considered as hedge assets for the conventional market for all studied countries during the COVID-19 pandemic crisis period. However, gold works as a strong hedge in all countries, except for Brazil and Malaysia. Bitcoin is a strong hedge in the USA and a strong hedge and safe haven in China.

International investors in China and the US stock markets should replace Islamic ‎indexes with Bitcoin in their conventional portfolio of securities during the pandemic.

To the best of the authors’ knowledge, this is the first paper that re-evaluates the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus.

This study aims to conduct an empirical investigation to assess the hedge, diversifier and safe-haven properties of different environmental, social and governance (ESG) assets (i.e. green bonds and ESG equity index) vis-à-vis conventional investments (namely, equity index, gold and commodities).

The authors examine the sample period 2007–2021 using the bivariate cross-quantilogram (CQG) analysis and a dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity (GARCH) experiment with several extensions.

The evidence shows that the analyzed ESG investments exhibit mainly diversifying features depending on the asset class taken as a reference, with some potential hedging/safe-haven qualities (for the green bond) in peculiar timespans. Therefore, the results suggest that investors might consider sustainable investing as a new measure of risk reduction, which has interesting implications for both portfolio allocation and policy design.

To the best of the authors’ knowledge, this study is the first that empirically investigates at once the dependence between different ESG investments (i.e. equity and green bond) with different conventional investments such as gold, equity and commodity market indices over a large sample period (2007–2021). Well-suited methodologies like the bivariate CQG and the DCC multivariate GARCH are used to capture the spillover effect and the hedging/diversifying nature, even in temporary contexts. Finally, a global perspective is used.

This paper aims to examine the hedge, diversifier and safe haven properties of the global listed infrastructure sector and subsector indices against two traditional asset classes, stocks and bonds, and four alternative asset classes, including commodities, real estate, private equity and hedge funds during extreme negative stock market movements.

Using dynamic conditional correlation and quantile regression, the authors analyze a data set of 12 indices comprising listed infrastructure and traditional asset classes from 2010 to 2019.

Overall, the findings indicate that listed infrastructure acts as an effective diversifier but not as a strong safe haven or hedge when considered in a multiasset context. With minor exceptions, listed infrastructure cannot be concluded as a safe haven against other asset classes under investigation.

The present study has implications for institutional investors looking to incorporate infrastructure in their multiasset portfolios for increased portfolio diversification benefits.

Despite the increased influence of infrastructure as an asset class, to the best of the authors’ knowledge, this is the first study to investigate the hedge, safe haven and diversifying properties of infrastructure in a multi-asset context.

In this paper, our aim is to estimate the time varying correlations between Bitcoin, VIX futures and CDS indexes and to examine in what ways these assets can act as beneficial hedge and safe haven mechanisms, useful for facing, or attenuating, the major world equity markets related risks and volatilities.

Our methodology consists to model each pair equity/asset indices by bivariate symmetric and asymmetric dynamic conditional models (A) DCC to evaluate the portfolio design associated implications on both daily and weekly collected data base, with regard to the period ranging from July, 2010 to January 2018. To assess the extent to which the Bitcoin, VIX futures and sovereign CDS may stand as diversifiers, i.e. as hedging or safe haven instruments against the various stock indexes, we adopt the same method applied by Baur and Lucey (2010).

Empirical results show that the hedging and safe haven roles associated with the three hedging instruments tend to differ noticeably across time horizons and model used. The interest brought about by treating this issue is twofold. On the one hand, it should provide useful guidelines to investors through helping them opt for the most effective and beneficial strategies, whereby they could efficiently hedge the equity markets related extreme risks and volatilities. On the other hand, it is intended to highlight the applied models' specifications associated impacts.

The interest brought about by treating this issue is twofold. On the one hand, it should provide useful guidelines to investors and financial advisors through helping them opt for the most effective and beneficial of the strategies, whereby they could efficiently hedge the equity markets related extreme risks and volatilities. On the other hand, it is intended to highlight the applied models' specifications associated impacts.

Study of Bitcoin can be considered as safe haven or hedge or diversifier instrument. Compare between Bitcoin, VIX and CDs.

This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and Bitcoin as a hedge or safe-haven asset for the world conventional stock market over the period from April 30, 2015 to March 27, 2020.

In this paper, the authors re-evaluate the hedge and safe haven properties of Islamic indexes, gold and Bitcoin following Baur and Lucey’s (2010) and Baur and McDermott’s (2010) methodology.

Empirical results show that the Islamic index is not a hedge or a safe haven asset for the world conventional stock market during the recent coronavirus crisis period. Different from the whole period, the authors find that gold is a strong hedge but only a weak safe or is not a safe haven during the coronavirus sub-period. Bitcoin reports distinctive properties, as it acts as a weak hedge and not a safe-haven asset.

This paper is the first study that investigates whether the global Islamic index still acts as hedges or “safe-haven” assets during the new COVID-19 crisis period. The results can help investors make informed decisions when adding cryptocurrencies and Islamic indexes to their portfolios during the coronavirus crisis.

This study aims to examine the hedge and safe-haven properties of the Sukuk and green bond for the stock markets pre- and during the COVID-19 pandemic period.

To test the hedge and safe-haven characteristics of Sukuk and green bonds for stock markets, the study first uses the methodology proposed by Ratner and Chiu (2013). Next, the authors estimate the hedge ratios and hedge effectiveness of using Sukuk and green bonds in a portfolio with stock markets.

Strong safe-haven features of ethical (green) bonds reveal that adding green bonds into the investment portfolios brings considerable diversification avenues for the investors who tend to take fewer risks in periods of economic stress and turbulence. The hedge ratio and hedge effectiveness estimates reveal that green bonds provide sufficient evidence of the hedge effectiveness for various international stocks.

The study has significant implications for faith-based investors, ethical investors, policymakers and regulatory bodies. Religious investors can invest in Sukuk to relish low-risk and interest-free investments, whereas green investors can satisfy their socially responsible motives by investing in these investment streams. Policymakers can direct the businesses to include these diversifiers for portfolio and risk management.

The study provides novel insights in the testing hedge and safe-haven attributes of green bonds and Sukuk while using unique methodologies to identify multiple low-risk investors for investors following the uncertain COVID-19 pandemic.

This study is designed to examine the dynamic interrelationships between four cryptocurrencies (Bitcoin, Ethereum, Dogecoin and Cardano) and the Indian equity market. Additionally, the study seeks to investigate the potential safe haven, hedge and diversification uses of these digital currencies within the Indian equity market.

This study employs the wavelet approach to examine the time-varying volatility of the studied assets and the lead-lag relationship between stocks and cryptocurrencies. The authors execute the entire analysis using daily data from 1st October 2017 to 30th September 2023.

The result of the study shows that financial distress due to the pandemic and the Russian invasion of Ukraine have a negative effect on the Indian equities and cryptocurrency markets, escalating their price volatility. Also, the connectedness between the returns of stock and digital currency exhibits a strong positive relationship during periods of financial distress. Additionally, cryptocurrencies serve as a tool of diversification or hedging in the Indian equities markets during normal financial circumstances, but they do not serve as a diversifier or safe haven during periods of financial turmoil.

This study contributes to understanding the relationship between the Indian equity market and four cryptocurrencies using wavelet techniques in the time and frequency domains, considering both normal and crisis times. This can offer valuable insights into the potential of cryptocurrencies inside the Indian equities markets, mainly with respect to varying financial conditions and investment horizons.

The COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the potential of cryptocurrencies as a hedge and safe haven avenue against economic policy uncertainty.

This study investigates the behavior of the five leading cryptocurrencies in relation to country-level and group-level economic policy uncertainty indices, as measured by the text-based method developed by Baker et al. (The Quarterly Journal of Economics, 2016, 131, 1593–1636). The research covers a broad range of emerging and developed economies from July 2013 to September 2020. The study employs the approach of Narayan et al. (Economic Modelling, 2016, 53, 388–397) to examine the hedging and safe-haven properties of cryptocurrencies.

This study finds that the top cryptocurrencies play a hedging role against economic policy uncertainty, with some exceptions. Additionally, there is evidence to support the idea that cryptocurrencies can serve as a safe haven during the COVID-19 pandemic. As a result, investors may benefit from using cryptocurrencies as a risk-management avenue during times of uncertainty.

This research contributes to the existing literature by testing the cryptocurrencies' hedging and safe haven properties in a new way, by analyzing their lead and lag behaviors using a recent and innovative approach. Additionally, it examines a wide range of emerging and advanced markets, providing insight into the potential of using cryptocurrencies as a risk mitigation avenue.