Time-varying market efficiency of safe-haven assets

【Author】 Okoroafor, Ugochi C.; Leirvik, Thomas

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study investigates the hedge and safe-haven possibilities with bitcoin, gold and crude oil in different equity markets in the presence of time-varying market inefficiency. Our results indicate that periods of market inefficiency for the Bitcoin, gold and crude oil price positively influence their function as a hedge asset for the equity markets of Japan, China, the US, Europe and emerging countries. In addition to contributing to the discussion on the factors which affect the functioning of safe-haven assets, the empirical findings of this study further highlight the importance of market efficiency as a market microstructure feature. These results have important implications for investors seeking to manage risk through diversification across different asset classes.

【Keywords】Safe-haven; Market efficiency; Bitcoin; Gold; Crude oil

【发表时间】2023 SEP

【收录时间】2023-07-30

【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