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Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis

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  • P. S. Niveditha

    (Affiliated to Cochin University of Science and Technology (CUSAT))

Abstract

In this study, an attempt is made to identify commonly considered safe-haven assets through the Fractal Market Hypothesis (FMH) which assumes that the market is made up of heterogeneous agents and that there will be a dominance of the short-term investment horizon over the long-term investment horizon during a crisis period. The study considers the COVID-19 crisis as a critical period and examines the fractal behavior of the most commonly considered safe-haven assets (Gold, Bitcoin, Swiss franc and US dollar) for the sample period of 2015–2022 by using Continuous Wavelet Transform (CWT) methodology. The findings indicate that potential safe-haven assets can be identified through FMH. It also examines the potential safe-haven asset’s properties in more detail by employing a new methodology; the Wavelet Quantile Correlation (WQC) method. The study found that Gold is a safe haven only for the short run, whereas Bitcoin is a good diversifier. From the currencies, the Swiss franc is also not a good safe haven both in the short run and long run, and the US dollar is a safe haven for the long run.

Suggested Citation

  • P. S. Niveditha, 2025. "Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 313-335, January.
    • Handle: RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10572-x
    DOI: 10.1007/s10614-024-10572-x
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    More about this item

    Keywords

    Fractal market hypothesis; Safe-haven assets; Wavelets; COVID-19 crisis;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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