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<p>We investigate whether gold and Bitcoin function as safe-haven assets during extreme market conditions, examining events such as the COVID-19 pandemic. Our analysis employs daily returns of Bitcoin, gold, WTI, and Brent from January 2015 to December 2024. Using wavelet analysis specifically wavelet spectrum, wavelet coherence, and wavelet quantile correlation, we assess the assets' behavior under various crises. Additionally, we incorporate DCC-GARCH regression models to reinforce our findings. Results from the 2015–16 oil crisis indicate that Bitcoin served as a favored safe-haven asset, as shown by wavelet coherence. By contrast, data from the 2020 oil crash reveal stronger correlations for both Bitcoin and gold with WTI and Brent. Through wavelet quantile correlation, we further demonstrate that, during extreme market events, gold consistently outperforms Bitcoin as a safe haven. Our DCC regression model corroborates gold’s superior safe-haven status. Overall, our findings suggest that while Bitcoin may serve as a short-term safe haven or a long-term hedge and diversifier, gold remains the more reliable safe-haven asset in times of extreme market stress.</p>

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Safe-Haven Dynamics: Asset Pricing and Resource Reallocation in Global Market Crises

  • 期刊论文

  • 发表日期：

    2025年5月13日

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  • Geeta Duppati,
  • Anoop S. Kumar,
  • Neha Matlani,
  • Ravinder Rena,
  • Ploypailin Kijkasiwat

摘要

We investigate whether gold and Bitcoin function as safe-haven assets during extreme market conditions, examining events such as the COVID-19 pandemic. Our analysis employs daily returns of Bitcoin, gold, WTI, and Brent from January 2015 to December 2024. Using wavelet analysis specifically wavelet spectrum, wavelet coherence, and wavelet quantile correlation, we assess the assets' behavior under various crises. Additionally, we incorporate DCC-GARCH regression models to reinforce our findings. Results from the 2015–16 oil crisis indicate that Bitcoin served as a favored safe-haven asset, as shown by wavelet coherence. By contrast, data from the 2020 oil crash reveal stronger correlations for both Bitcoin and gold with WTI and Brent. Through wavelet quantile correlation, we further demonstrate that, during extreme market events, gold consistently outperforms Bitcoin as a safe haven. Our DCC regression model corroborates gold’s superior safe-haven status. Overall, our findings suggest that while Bitcoin may serve as a short-term safe haven or a long-term hedge and diversifier, gold remains the more reliable safe-haven asset in times of extreme market stress.