In search of hedges and safe havens during the COVID-19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty

【Author】 Al-Nassar, Nassar S.; Boubaker, Sabri; Chaibi, Anis; Makram, Beljid

【Source】QUARTERLY REVIEW OF ECONOMICS AND FINANCE

【影响因子】4.324

【Abstract】This paper investigates the potential hedging and safe-haven properties of several alternative investment assets, including gold, Bitcoin, oil, and the oil price volatility index (OVX), against the risks of the Saudi stock market and its constituent sectors in different phases of the COVID-19 pandemic. Using daily data, we employ the bivariate dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) technique to model volatilities and conditional correlations. Our findings show that all in-vestigated alternative investment assets had a time-varying hedging role in the Saudi stock market, which became expensive during the early stages of the COVID-19 pandemic. Our results also show that the optimal weights for gold were substantially higher than those of other assets, reaching a peak during the pandemic, implying that investors consider gold a flight-to-safety asset. Additionally, we find that gold and OVX were strong hedges and could have served as weak safe havens for investors during the early stages of the COVID-19 pandemic, while the remaining assets generally lacked these properties and could be merely used as diversi-fiers. Our empirical findings offer several key implications for policymakers and portfolio managers in Saudi Arabia that may be applicable to similar markets. In particular, we show that OVX-based products can serve as a promising hedging asset for stock markets in oil-exporting countries.& COPY; 2022 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.

【Keywords】Finance; Gold; Bitcoin; OVX; COVID319; Hedge and safe haven; Emerging markets

【发表时间】2023 AUG

【收录时间】2023-09-19

【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