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Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic

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  • Qian Wang
  • Yu Wei
  • Yifeng Zhang
  • Yuntong Liu

Abstract

The COVID-19 pandemic poses a serious threat to investors in the crude oil market. Furthermore, investors have an increasing need to find a safe haven in their investment portfolios when facing unprecedented risks in crude oil markets during the COVID-19 pandemic. According to a review of the literature, there are contradictory findings on which investment is the safer haven for the oil market. Therefore, this paper aims to evaluate whether bitcoin is a safer haven for the crude oil market than the commonly used gold during the COVID-19 pandemic. Three spillover measurements based on the time, and frequency domains, and a network framework are employed to quantify the return spillover effects among bitcoin, gold and three major crude oil futures markets. We divide the sample into two periods, pre-COVID-19 and post-COVID-19. The results show that bitcoin has a weak safe-haven effect on the crude oil market only over a short period, while gold maintains a good safe-haven ability for crude oil futures across various time horizons (frequencies), both before and after the outbreak of the COVID-19 pandemic. The findings of this study have important implications for policy-makers, crude oil producers and global investors. In particularly, investors cannot ignore the importance of bitcoin and gold in selecting more profitable portfolio policies when searching for safe-haven assets.

Suggested Citation

  • Qian Wang & Yu Wei & Yifeng Zhang & Yuntong Liu, 2023. "Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic," Evaluation Review, , vol. 47(3), pages 391-432, June.
    • Handle: RePEc:sae:evarev:v:47:y:2023:i:3:p:391-432
    DOI: 10.1177/0193841X221141812
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