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In search of safe haven assets during COVID-19 pandemic: an empirical analysis of different investor types

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dc.contributor.authorMustafa Disli
dc.contributor.authorRuslan Nagayev
dc.contributor.authorSiti K. Rizkiah
dc.contributor.authorAhmet F. Aysan
dc.contributor.authorKinan Salim
dc.date.accessioned2021-11-30T01:28:22Z
dc.date.available2021-11-30T01:28:22Z
dc.date.issued2021
dc.description.abstractThis 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.en_US
dc.identifier.citationDisli, M., Nagayev, R., Salim, K., Rizkiah, S. K., & Aysan, A. F. (2021). In search of safe haven assets during COVID-19 pandemic: an empirical analysis of different investor types. Research in International Business and Finance, 58, Article 101461. https://doi.org/10.1016/j.ribaf.2021.101461en_US
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2021.101461
dc.identifier.issn0275-5319
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/3480
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevier B.V.en_US
dc.rights2021. Elsevier B.V.
dc.sourceSEDONA
dc.subjectEquitiesen_US
dc.subjectCommoditiesen_US
dc.subjectBitcoinen_US
dc.subjectOilen_US
dc.subjectGolden_US
dc.subjectSpilloveren_US
dc.subjectInterconnectednessen_US
dc.subjectCOVID-19en_US
dc.subjectPandemicen_US
dc.subjectInvestment portfolioen_US
dc.titleIn search of safe haven assets during COVID-19 pandemic: an empirical analysis of different investor typesen_US
dc.typeJournal Articleen_US
dlc.maintopicIslamic capital marketsen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital marketsen_US
relation.isAuthorOfPublication10a8c75a-02bf-4122-a23c-40d4ef3b59b3
relation.isAuthorOfPublication10a8c75a-02bf-4122-a23c-40d4ef3b59b3
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relation.isAuthorOfPublication.latestForDiscovery10a8c75a-02bf-4122-a23c-40d4ef3b59b3
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