Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period*

【Author】 Yousaf, Imran; Plakandaras, Vasilios; Bouri, Elie; Gupta, Rangan

【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

【影响因子】3.136

【Abstract】The sudden market crash around 20 February 2020 on the dawn of the COVID-19 pandemic has accelerated the digitalization of all human communication and revived the interest for risk mitigation during stress periods. Interestingly, FAANA (Facebook, Apple, Amazon, Netflix, and Alphabet) stocks exhibited positive returns with remarkable resilience throughout the pandemic period, suggesting a change in their investing risk. In this paper, we take a different step from the existing literature and examine the hedging, diversifying, and safe haven properties of FAANA stocks against four alternative assets, namely gold, U.S. Treasury bonds, Bitcoin, and U.S. Dollar/ CHF. Our analysis covers an extended sample period comprising the heightened uncertainty during the recent pandemic period. It involves conditional correlations, optimal weights, hedge ratios, and hedging effectiveness for the pairs of FAANA stock and alternative asset during the full sample period and the COVID-19 pandemic period. The results show that the majority of FAANA stocks serve as weak/strong safe havens against gold, Treasury bonds, Bitcoin, and Dollar/CHF in the full sample period. Further, few FAANA stocks serve as strong safe havens against the U.S. Treasury and Dollar/CHF during the pandemic. Our findings suggest that FAANA, once thought as risky high growth tech stocks, have gained maturity and became a safe blanket during the latest turbulent period.

【Keywords】Safe haven assets; Hedging and diversification; FAANA stocks; Bitcoin; Gold; U; S; Treasury bonds; Dollar Swiss franc; COVID-19 outbreak

【发表时间】2023 JAN

【收录时间】2022-12-18

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析