The roles of gold, US dollar, and bitcoin as safe-haven assets in times of crisis

Abstract

Using the GJR-GARCH method, this study examines the safe-haven role of gold, US dollar, and Bitcoin over a period including the global financial crisis, the COVID-19 pandemic and the Russia-Ukraine conflict from 3 April 2006 to 19 May 2023. The study supports the hypothesis that the safe-haven role of assets changes over periods of crisis. Specifically, gold loses its role as a safe-haven asset during the COVID-19 pandemic, but this role has been restored in the Dutch, US and German markets during the Russia-Ukraine conflict. Similarly, Bitcoin is not a safe-haven asset during the COVID-19 pandemic but is a strong safe-haven asset for the stock markets of some European countries, and a weak safe-haven asset for China when the Russia-Ukraine conflict occurred. Only the USD acts as a stable safe-haven asset through periods of crisis. However, this role is weakened in Russia. These results partly help investors and portfolio managers choose a safe haven for their assets, especially during volatile market periods.