Gold and Cryptocurrency as Safe Haven Assets for Commodities, Stocks, and Bonds: Evidence from the Russia-Ukraine War

Abstract

This research was conducted to determine whether gold and cryptocurrency (i.e., Bitcoin) can be used as safe haven assets for oil, wheat, stock index (SI), government bond (GB), Islamic stock (IS), and Islamic bond (IB) during the Russia-Ukraine war. We used panel quantile regression by utilizing extreme lower quantiles (i.e., 1%, 2.5%, 5%). It will only be recognized as a safe haven asset if it is negatively correlated with another asset during extreme adverse shocks. The data spans from 23 February 2021 – 25 July 2022 which covered the five largest economies in Europe and Asia (i.e., Germany, France, the UK, China, and Japan). The findings indicate that gold only acted as a safe haven asset for wheat, SI, and IS during the Russia-Ukraine war. Additionally, Bitcoin only serves as a safe haven asset for oil, wheat, SI, and GB during the Russia-Ukraine war.