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.

Impact Statement

Investors often want to protect their assets by diversifying their investment portfolios or using risk prevention tools. Especially when the financial market encounters instability caused by the crisis, investors tend to look for safe-haven assets such as precious metals, foreign currencies, and cryptocurrencies. This study re-evaluates the safe-haven role of gold, USD, and Bitcoin during the Russia-Ukraine conflict, then compares the research results with two previous crises, GFC 2008 and the COVID-19 pandemic. Research results help investors choose appropriate assets during market volatility.

KEYWORDs:

• Safe haven assets
• GFC 2008
• Covid-19
• Russia–Ukraine conflict

Reviewing Editor:

• David McMillan, University of Stirling, UK

Subjects:

• Economics
• International Economics
• International Finance
• Finance

JEL Classification:

• C58
• G01
• G11
• G12
• G14

Acknowledgements

The authors acknowledge being supported by the University of Finance - Marketing, Viet Nam.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Authors’ contributions

Le Thi Thuy Van’s tasks on the article development: Investigation, Software, Data curation, Writing-Original draft preparation. Tran Thi Kim Oanh’s tasks on the article development: Conceptualization, Supervision, Validation, Writing-Reviewing and Editing. Nguyen Thi Hong Ha’s tasks on the article development: Software, Writing-Original draft preparation, Resources. All authors read and approved the final manuscript.

Notes

1 https://www.euronews.com/next/2022/03/17/ukraine-war-zelenskyy-signs-a-new-law-officially-legalising-bitcoin-and-other-cryptos.

2 https://www.reuters.com/business/finance/russia-could-legalise-cryptocurrencies-means-payment-industry-minister-2022-05-18/.

3 https://www.russia-briefing.com/news/russia-to-reduce-trade-in-toxic-us-dollar-euros.html/.

Additional information

Notes on contributors

Van Le Thi Thuy

Dr. Le Thi Thuy Van is working at National Institute for Finance, Hanoi, Vietnam. Her research area involves Financial Management, Finance and Banking.

Tran Thi Kim Oanh

Dr. Tran Thi Kim Oanh is working as a lecturer at Faculty of Finance and Banking, University of Finance – Marketing, Ho Chi Minh City, Vietnam. Her research area involves Financial Management, Finance and Banking.

Nguyen Thi Hong Ha

Ms. Nguyen Thi Hong Ha is working as a lecturer at Faculty of Accounting, Finance – Banking, Ho Chi Minh City Industry and Trade College, Ho Chi Minh city, Viet Nam. Her research area involves Finance and Banking.