IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v122y2023ics0140988323001883.html

Gold and the herd of Cryptos: Saving oil in blurry times

Author

Listed:
  • Enilov, Martin
  • Mishra, Tapas

Abstract

This paper assesses the effectiveness of a broad set of 1066 active and continuously traded cryptocurrencies as a safe haven instrument against extreme oil price movements, in comparison to the corresponding roles of gold. The uncertainty for the oil market during the COVID-19 pandemic and the subsequent Russia–Ukraine conflict set the tone for natural experiments for our study. We use a trail-blazing dynamic generalized autoregressive score model to estimate the tail riskiness of the potential safe haven assets from January 1, 2020, to September 30, 2022. By estimating the risk exposure of all cryptocurrency assets, we determine top ten safest assets for investment. Our results show the emergence of new safe haven cryptocurrencies, which have previously been ignored by the academic literature and policy makers alike. Intriguingly, our findings reveal that gold has been replaced by altcoins as the safest assets during both the COVID-19 pandemic and the Russia–Ukraine conflict. At this instance, our findings suggest that Bitcoin provides lengthier safe haven properties than gold for oil returns in both periods. However, the safe haven properties of gold and cryptocurrencies are time varying. Last but not least, we introduce a new Cryptocurrency Tail Risk Index (CTRI) that captures the risk exposure of cryptocurrency market, as a whole. Our results suggest that investment in numerous cryptocurrencies provides lengthier safe haven properties than investing in gold alone.

Suggested Citation

  • Enilov, Martin & Mishra, Tapas, 2023. "Gold and the herd of Cryptos: Saving oil in blurry times," Energy Economics, Elsevier, vol. 122(C).
    • Handle: RePEc:eee:eneeco:v:122:y:2023:i:c:s0140988323001883
    DOI: 10.1016/j.eneco.2023.106690
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988323001883
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2023.106690?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nezir Köse & Emre Ünal & Savas Gayaker, 2026. "The role of global factors in Bitcoin dynamics: Evidence from the TVP-VAR-SV model," Empirical Economics, Springer, vol. 70(3), pages 1-28, March.
    2. Almeida, José & Gonçalves, Tiago Cruz, 2026. "Cryptocurrencies and economic sanctions," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    3. Zhang, Yuanyuan & Chan, Stephen & Lord, Nicholas & Chu, Jeffrey & Yang, Hanfang & Chandrashekhar, Durga & Liao, Xin & Li, Qin, 2025. "Network transitions in the cryptocurrency market: The impact of regional conflicts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 680(C).
    4. Sapra, Nishant, 2025. "Powering profits, draining the planet: Demystifying the asymmetric impact of Bitcoin price on its electricity consumption," Energy, Elsevier, vol. 333(C).
    5. Wang, Wei & Enilov, Martin & Stankov, Petar, 2025. "Can cryptocurrency or gold rescue BRICS stocks amid the Russia-Ukraine conflict?," International Review of Financial Analysis, Elsevier, vol. 104(PA).
    6. Shivam Azad & S. L. Tulasi Devi, 2025. "Sustainable development and investor confidence: The safe‐haven appeal of green‐bond issuing firms," Sustainable Development, John Wiley & Sons, Ltd., vol. 33(1), pages 1249-1268, February.
    7. Agnese, Pablo & Rios, Francisco, 2024. "Spillover effects of energy transition metals in Chile," Energy Economics, Elsevier, vol. 134(C).
    8. Atik, Zehra & Guven, Murat & Guloglu, Bulent & Koksalmis, Gulsah Hancerliogullari & Calisir, Fethi, 2025. "Exploring nonlinear tail dependencies: Cryptocurrencies, stablecoins, and commodity markets amid monetary shifts," Research in International Business and Finance, Elsevier, vol. 76(C).
    9. Gaies, Brahim, 2025. "Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
    10. Hoque, Mohammad Enamul & Billah, Mabruk & Alam, Md Rafayet & Tiwari, Aviral Kumar, 2024. "Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress," Global Finance Journal, Elsevier, vol. 60(C).
    11. Wang, Jianuo & Enilov, Martin & Kizys, Renatas, 2024. "Does M&A activity spin the cycle of energy prices?," Energy Economics, Elsevier, vol. 137(C).
    12. Zhou, Xiaoran & Enilov, Martin & Parhi, Mamata, 2024. "Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets," Energy Economics, Elsevier, vol. 132(C).
    13. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).
    14. Abderahman Rejeb & Karim Rejeb & Khalil Alnabulsi & Suhaiza Zailani, 2023. "Tracing Knowledge Diffusion Trajectories in Scholarly Bitcoin Research: Co-Word and Main Path Analyses," JRFM, MDPI, vol. 16(8), pages 1-23, July.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q34 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Natural Resources and Domestic and International Conflicts
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:122:y:2023:i:c:s0140988323001883. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.