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The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods

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  • Tarchella, Salma
  • Khalfaoui, Rabeh
  • Hammoudeh, Shawkat

Abstract

This study investigates the safe haven, hedging, and diversification properties of oil, gold, and two cryptocurrencies, including Bitcoin and Ethereum, for equity investments in the G7 economies under different market conditions. Daily data covering the pre- and post-COVID-19 periods were employed, using the linear and nonlinear Generalized Autoregressive Conditional Heteroskedasticity models. The empirical evidence supports gold as an undisputable diversifier for equity investments in the G7 equity markets under all market conditions. Cryptocurrencies have a valuable safe-haven potential, particularly during the COVID-19 crisis. Furthermore, the suitability of the optimal hedge asset depends on market conditions and individual countries, where the traditional assets present the best hedge in the normal conditions, compared to the modern assets. However, in the stress periods, Bitcoin presents the best hedge for the stocks of the G7 European and the UK countries, although Ethereum is the optimal hedge for the U.S. and Canada. In contrast, oil exhibits a superiority in hedging Japanese equities during all market conditions.

Suggested Citation

  • Tarchella, Salma & Khalfaoui, Rabeh & Hammoudeh, Shawkat, 2024. "The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods," Research in International Business and Finance, Elsevier, vol. 67(PB).
    • Handle: RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002519
    DOI: 10.1016/j.ribaf.2023.102125
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    Keywords

    Hedging; Cryptocurrencies; COVID-19 crisis; Oil and gold; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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