Risk Perception under Uncertainty: A Behavioral Analysis of Safe-Haven Asset Return Responses

The study aims to examine the return responses of safe-haven assets from a behavioural perspective rather than to measure quantity-based demand directly. It elaborates on perceived risk, loss aversion, and uncertainty avoidance as critical determining processes and traits. The data from January 2000 to October 2025 examine gold, the Swiss franc (USD/CHF), and the Japanese yen (USD/JPY) as safe-haven assets. The VIX, EPU, and GPR indices represent financial market, economic policy, and geopolitical uncertainty, respectively. Because the dependent variables are stationary return series, the empirical design is framed as a direction-dependent dynamic regression based on asymmetric partial-sum decomposition rather than as a cointegration or error-correction model. The evidence shows significant asymmetries in both cumulative and short-run return responses. Greater and more persistent responses occur amid rises in uncertainty than falls in uncertainty, which show much weaker and often insignificant responses. Investor reactions to higher and lower levels of uncertainty show a statistically significant difference for all the measures. The intensity and duration of these effects vary across different assets, indicating that gold and currency-based safe-haven assets have different behavioural roles for investors.