Title: COVID-19 pandemic: revisiting the safe haven assets

Authors: Musa C. Dasauki; Olusola B. Oluwalaiye; Jerry D. Kwarbai; Jesudara E. Oyesiji

Addresses: Department of Economics, Babcock University, Nigeria ' Department of Economics, Babcock University, Nigeria ' Department of Accounting, Babcock University, Nigeria ' Deloitte Nigeria, Civic Towers, Ozumba Mbadiwe Avenue, Victoria Island, Lagos, Nigeria

Abstract: Different assets behave differently during different economic situations and investors are constantly searching for safe assets to hold and avoid volatile assets to hedge against risk. The study considered 13 safe haven assets across the world's largest economies during the COVID-19 pandemic. The GARCH (1,1) and the threshold GARCH models were applied. The results obtained from the model estimation test showed that COVID-19 and oil price had a negative effect on some safe haven assets. International stock has less volatility. The result also revealed that crypto currencies (Bitcoin, Tether, Etherium), stocks (Shanghai stock exchange), currencies (US dollars, Swiss franc, and pounds), precious metal (silver) and government securities (T-bond and T-bill) were less volatile but COVID-19 pandemic triggered higher volatility on precious metal (gold) and stocks (S&P500, CAC40).

Keywords: asymmetry; cryptocurrency; metals; stock; volatility.

DOI: 10.1504/GBER.2023.128834

Global Business and Economics Review, 2023 Vol.28 No.2, pp.175 - 194

Received: 26 Jul 2021
Accepted: 19 Jan 2022
Published online: 07 Feb 2023 *

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