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1 – 10 of over 5000
Article
Publication date: 23 December 2021

Natalia Diniz-Maganini and Abdul A. Rasheed

When investors experience extreme uncertainty, they seek “safe havens” to reduce their risk, to limit their losses and to protect the value of their portfolios. The purpose of…

Abstract

Purpose

When investors experience extreme uncertainty, they seek “safe havens” to reduce their risk, to limit their losses and to protect the value of their portfolios. The purpose of this paper is to examine the safe-haven properties of Bitcoin compared to the stock market.

Design/methodology/approach

Based on intraday data, this study compares the price efficiencies of Bitcoin and Morgan Stanley Capital Index (MSCI) using Multifractal Detrended Fluctuation Analysis for the second half of 2020. This study then evaluates Bitcoin’s safe-haven property using Detrended Partial-Cross-Correlation Analysis (DPCCA).

Findings

This study finds that the price efficiency of Bitcoin is lower than that of MSCI. Further, Bitcoin was not a safe haven at any time for the MSCI index. The net cross-correlations between Bitcoin and MSCI are weak and they vary at different time scales.

Research limitations/implications

The behavior of market prices varies over time. Therefore, it is important to replicate this study for other time periods.

Social implications

The paper sheds light on the price behavior of Bitcoin during a period of instability. The results suggest that the construction of portfolios should differ based on the time horizons of the investors.

Originality/value

The authors compare Bitcoin against a global equity index instead of a specific country index or commodity. They also demonstrate the applicability of DPCCA in finance research.

Details

Studies in Economics and Finance, vol. 39 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Book part
Publication date: 4 April 2024

Thomas C. Chiang

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…

Abstract

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.

Details

Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-83753-865-2

Keywords

Article
Publication date: 15 December 2021

Muhammad Abubakr Naeem, Mustafa Raza Rabbani, Sitara Karim and Syed Mabruk Billah

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.

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Abstract

Purpose

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.

Design/methodology/approach

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.

Findings

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.

Practical implications

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.

Originality/value

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.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 16 no. 2
Type: Research Article
ISSN: 1753-8394

Keywords

Article
Publication date: 5 December 2023

Monika Chopra, Chhavi Mehta, Prerna Lal and Aman Srivastava

The purpose of this research is to primarily understand how crypto traders can use the Bitcoin as a hedge or safe haven asset to reduce their losses from crypto trading. The study…

Abstract

Purpose

The purpose of this research is to primarily understand how crypto traders can use the Bitcoin as a hedge or safe haven asset to reduce their losses from crypto trading. The study also aims to provide insights to crypto investors (portfolio managers) who wish to maintain a crypto portfolio for the medium term and can use the Bitcoin to minimize their losses. The findings of this research can also be used by policymakers and regulators for accommodating the Bitcoin as a medium of exchange, considering its safe haven nature.

Design/methodology/approach

This study applies the cross-quantilogram (CQ) approach introduced by Han et al. (2016) to examine the safe-haven property of the Bitcoin against the other selected crypto assets. This method is robust for estimating bivariate volatility spillover between two markets given unusual distributions and extreme observations. The CQ method is capable of calculating the magnitude of the shock from one market to another under different quantiles. Additionally, this method is suitable for fat-tailed distributions. Finally, the method allows anticipating long lags to evaluate the strength of the relationship between two variables in terms of durations and directions simultaneously.

Findings

The Bitcoin acts as a weak safe haven asset for a majority of new crypto assets for the entire study period. These results hold even during greed and fear sentiments in the crypto market. The Bitcoin has the ability to protect crypto assets from sharp downturns in the crypto market and hence gives crypto traders some respite when trading in a highly volatile asset class.

Originality/value

This study is the first attempt to show how the Bitcoin can act as a true matriarch/patriarch for crypto assets and protect them during market turmoil. This study presents a clear and concise representation of this relationship via heatmaps constructed from CQ analysis, depicting the quantile dependence association between the Bitcoin and other crypto assets. The uniqueness of this study also lies in the fact that it assesses the protective properties of the Bitcoin not only for the entire sample period but also specifically during periods of greed and fear in the crypto market.

Details

China Finance Review International, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2044-1398

Keywords

Article
Publication date: 3 December 2021

Muhammad Kamran, Pakeezah Butt, Assim Abdel-Razzaq and Hadrian Geri Djajadikerta

This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of…

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Abstract

Purpose

This study aims to address the timely question of whether Bitcoin exhibited a safe haven property against the major Australian stock indices during the first and second waves of the COVID-19 pandemic in Australia and whether such property is similar or different in one year time from the first wave of the COVID-19.

Design/methodology/approach

The authors used the bivariate Dynamic Conditional Correlation, Generalized Autoregressive Conditional Heteroskedasticity model, on the five-day returns of Bitcoin and Australian stock indices for the sample period between 23 April, 2011 and 19 April, 2021.

Findings

The results show that Bitcoin offered weak safe haven and hedging benefits when combined in a portfolio with S&P/ASX 200 Financials index, S&P/ASX 200 Banks index or S&P/ASX 300 Banks index. In regard to the S&P/ASX All Ordinaries Gold index, the authors found Bitcoin a risky candidate with inconsistent safe haven and hedging benefits. Against S&P/ASX 50 index, S&P/ASX 200 index and S&P/ASX 300 index, Bitcoin was nothing more than a diversifier. The outset of the second COVID-19 wave, which was comparatively more severe than the first, is also reflected in the results with considerably higher correlations.

Originality/value

There is a lack of in-depth empirical evidence on the safe haven capabilities of Bitcoins for various Australian stock indices during the first and second waves of the COVID-19 pandemic. The study bridges this void in research.

Details

Studies in Economics and Finance, vol. 39 no. 3
Type: Research Article
ISSN: 1086-7376

Keywords

Book part
Publication date: 25 March 2011

Laurette T. Liesen

Safe haven laws arose as a compassionate response to the perceived increase in the number of mothers who killed their infants or abandoned them in unsafe places, such a dumpsters…

Abstract

Safe haven laws arose as a compassionate response to the perceived increase in the number of mothers who killed their infants or abandoned them in unsafe places, such a dumpsters, toilets, outdoors, etc. (Appell, 2002b; Sanger, 2006). The policy problem of infant abandonment arrived on the local policy agenda in Mobile, Alabama in 1997 and early 1998. During that time, 20 infants were reported abandoned. In one case, a mother and grandmother drowned an hour-old infant in a toilet, and each received a 25-year prison sentence (Sanger, 2006). In response to this case, the program called “A Secret Safe Place for Newborns” was established. Prosecutors promised anonymity and immunity if the infant was relinquished unharmed. In 1999 Texas also experienced a surge in abandoned babies – 13 were abandoned in a 10-month period, 3 of whom died. Texas' Baby Moses Law was the nation's first safe haven law passed in 1999. Within two years, dozens of states passed safe haven laws with little debate, analysis, or opposition (Baran, 2003; Sanger, 2006). In order to reduce the occurrences of neonaticide and infanticide in which infants were left to die, all 50 states in the United States have passed safe haven laws.

Details

Biology and Politics
Type: Book
ISBN: 978-0-85724-580-9

Article
Publication date: 17 February 2022

Shoaib Ali, Imran Yousaf and Zaghum Umar

This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19.

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Abstract

Purpose

This study aims to examine the hedge, diversifier and safe-haven properties of bonds against infectious disease-related equity market volatility (IDEMV), like COVID-19.

Design/methodology/approach

The authors apply wavelet coherence methodology on the daily data of IDEMV and bond market (US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and Europe) indices from 1 January 2000 to 14 February 2021.

Findings

The results show no significant co-movement between these bond indices and IDEMV, thus confirming that they serve as a hedge against IDEMV. However, during the turbulent period like COVID-19, the authors find that the US, UK, Japan, Switzerland, Canada, Australia, Sweden, China and European bond markets act as safe-haven against IDEMV, whereas the UK, US, Japan and Canadian bond markets demonstrate an in-phase and positive co-movement with IDEMV during COVID-19, suggesting their role as a diversifier.

Research limitations/implications

The study findings are important for investors and portfolio managers regarding risk management, portfolio diversification and investment strategies.

Originality/value

The authors contribute to the fast growing body of work on the financial impacts of COVID-19 as well as to ongoing consideration of whether a bond is a safe-haven investment.

Details

Review of Behavioral Finance, vol. 15 no. 4
Type: Research Article
ISSN: 1940-5979

Keywords

Article
Publication date: 9 November 2022

Surbhi Gupta and Anil K. Sharma

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…

Abstract

Purpose

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.

Design/methodology/approach

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.

Findings

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.

Practical implications

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

Originality/value

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.

Details

Studies in Economics and Finance, vol. 40 no. 2
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 8 February 2022

Opeoluwa Adeniyi Adeosun, Olumide Adeola Adeosun, Mosab I. Tabash and Suhaib Anagreh

The study aims to examine the relationship among economic policy uncertainty (EPU), geopolitical-risks (GPR), the interaction (EPGR) of EPU and GPR and the returns of gold…

Abstract

Purpose

The study aims to examine the relationship among economic policy uncertainty (EPU), geopolitical-risks (GPR), the interaction (EPGR) of EPU and GPR and the returns of gold, silver, platinum, palladium and rhodium using monthly data from January (1997) to May (2021).

Design/methodology/approach

The paper employs the Markov-switching and the novel Shi et al. (2020) bootstrap time-varying Granger-causality approach.

Findings

Though the Markov-switching shows variation in the responses of precious metals to EPU, GPR and EPGR across low and high states, the paper observes the safe-haven potential of the precious metals in the high regime while the hedging potency is also evident in the results. To further substantiate the safe-haven and hedging properties, the time-varying Granger-causality shows the causal effect of EPU on all the selected precious metal returns coinciding with global events. While the authors show that GPR Granger causes platinum, palladium and rhodium consistently under the rolling/recursive-evolving tests, the authors cannot find the causal effect of GPR on gold and silver returns across the algorithms. The paper also observes persistence in the causal effect of EPGR on palladium and platinum across all the algorithms, while gold and rhodium only show consistency in the responses under the rolling- and recursive-evolving algorithms given the conditions of homoscedasticity and heteroscedasticity.

Practical implications

The authors' results are essential to investors and policymakers since both typically leverage the hedging and safe-haven characteristics of precious metals to obviate downside risks during highly uncertain periods.

Originality/value

The authors' techniques allow examining the hedging and safe-haven properties of precious metals across regimes and date-stamp critical periods of causation inherent in the relationship.

Details

Journal of Economic Studies, vol. 50 no. 2
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 5 April 2022

Jinsha Zhao

The paper provides new evidence for Bitcoin’s safe-haven property by examining the relationship between currency price, return and Bitcoin trading volume.

Abstract

Purpose

The paper provides new evidence for Bitcoin’s safe-haven property by examining the relationship between currency price, return and Bitcoin trading volume.

Design/methodology/approach

A unique dataset from a person-to-person (p2p) exchange is used to investigate association between Bitcoin trading volume and currency prices. Currency returns are used to identify local economic crises, the 8 crisis affected currencies are Venezuela Bolivar (VES), Iranian Rial (IRR), Ukrainian Hryvnia (UAH), Argentine Peso (ARS), Egyptian Pound (EGP), Nigerian Naira (NGN), Turkish Lira (TRY) and Kazakhstani Tenge (KZT).

Findings

The paper demonstrates that local economic crises are positively associated with increased Bitcoin trading. There is a negative association between trading volume and currency value (and return), suggesting low currency price and currency depreciation are accompanied with increased Bitcoin trading. The results not only hold for the crisis affected currencies but also currencies of advanced economies. Granger causality test also reinforces the negative association results.

Originality/value

The finding indicates some forms of flight-to-safety have occurred during local market crises when capital flight from domestic markets to Bitcoin, strengthening Bitcoin’s hedging asset status. However, total global trading volume declines after the start of the COVID pandemic, suggesting that Bitcoin is still regarded as a speculative asset. Overall, the findings show that Bitcoin is a hedging asset to protect against local currency depreciation, but not a safe-haven asset for the global crisis.

Details

Review of Behavioral Finance, vol. 14 no. 4
Type: Research Article
ISSN: 1940-5979

Keywords

1 – 10 of over 5000