Skip to main content
Kent Academic Repository

Searching for safe-haven assets during the COVID-19 pandemic

Ji, Q., Zhang, D., Zhao, Y. (2020) Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71 . Article Number 101526. ISSN 1057-5219. (doi:10.1016/j.irfa.2020.101526) (KAR id:93922)

Abstract

The ongoing COVID-19 pandemic has shaken the global financial system and caused great turmoil. Facing unprecedented risks in the markets, people have increasing needs to find a safe haven for their investments. Given that the nature of this crisis is a combination of multiple problems, it is substantially different from all other financial crises known to us. It is therefore urgent to re-evaluate the safe-haven role of some traditional asset types, namely, gold, cryptocurrency, foreign exchange and commodities. This paper introduces a sequential monitoring procedure to detect changes in the left-quantiles of asset returns, and to assess whether a tail change in the equity index can be offset by introducing a safe-haven asset into a simple mean-variance portfolio. The sample studied covers a training period between August–December 2019 and a testing period of December 2019–March 2020. Furthermore, we calculate the cross-quantilogram between pair-wise asset returns and compare their directional predictability on left-quantiles in both normal market conditions and the COVID-19 period. The main results show that the role of safe haven becomes less effective for most of the assets considered in this paper, while gold and soybean commodity futures remain robust as safe-haven assets during this pandemic.

Item Type: Article
DOI/Identification number: 10.1016/j.irfa.2020.101526
Uncontrolled keywords: COVID-19; Cross-quantilogram; Safe-haven assets; Sequential detection; Tail change
Subjects: H Social Sciences
H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Yuqian Zhao
Date Deposited: 17 May 2022 09:55 UTC
Last Modified: 18 May 2022 10:13 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/93922 (The current URI for this page, for reference purposes)

University of Kent Author Information

  • Depositors only (login required):

Total unique views for this document in KAR since July 2020. For more details click on the image.