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COVID-19 pandemic: revisiting the safe haven assets

Author

Listed:
  • Musa C. Dasauki
  • Olusola B. Oluwalaiye
  • Jerry D. Kwarbai
  • Jesudara E. Oyesiji

Abstract

Different assets behave differently during different economic situations and investors are constantly searching for safe assets to hold and avoid volatile assets to hedge against risk. The study considered 13 safe haven assets across the world's largest economies during the COVID-19 pandemic. The GARCH (1,1) and the threshold GARCH models were applied. The results obtained from the model estimation test showed that COVID-19 and oil price had a negative effect on some safe haven assets. International stock has less volatility. The result also revealed that crypto currencies (Bitcoin, Tether, Etherium), stocks (Shanghai stock exchange), currencies (US dollars, Swiss franc, and pounds), precious metal (silver) and government securities (T-bond and T-bill) were less volatile but COVID-19 pandemic triggered higher volatility on precious metal (gold) and stocks (S%P500, CAC40).

Suggested Citation

  • Musa C. Dasauki & Olusola B. Oluwalaiye & Jerry D. Kwarbai & Jesudara E. Oyesiji, 2023. "COVID-19 pandemic: revisiting the safe haven assets," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 28(2), pages 175-194.
    • Handle: RePEc:ids:gbusec:v:28:y:2023:i:2:p:175-194
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