Hedge and Safe Haven Properties of Green Bonds and Clean Energy Stocks during COVID-19 and Russian-Ukraine War: A Comparison With Gold

Abstract

Successions of crises are currently affecting the world, which have had an impact on the worldwide financial market. Indeed, the COVID-19 pandemic and the Russia-Ukraine war have caused significant disruption, slowing global economic and financial developments. As safe havens for their portfolios, foreign investors are focusing on more dependable assets. This paper examines the safe-haven and hedging characteristics of gold, green bonds, and clean energy. According to the Dynamic Conditional Correlation (DCC)-GARCH model, the hedging ratio and hedging effectiveness index show the hedging potential of gold, green bonds and clean energy in stable and volatile market phases. Our research shows that clean energy assets can effectively reduce portfolio risk during financial uncertainty by providing stronger hedging effects than gold. However, gold remains the more cost-effective option, balancing affordability with risk mitigation. During the COVID-19 pandemic and the Russia-Ukraine conflict, both gold and clean energy assets displayed weak safe-haven characteristics, which highlighted their ineffectiveness in protecting investors during extreme market turbulence. These insights underscore the need for cautious evaluation by investors and policymakers when considering these assets for crisis portfolio strategies.