A Safe Haven Index

37 Pages Posted: 2 Jul 2020 Last revised: 28 Jan 2022

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Thomas Dimpfl

University of Hohenheim

Date Written: February 22, 2021

Abstract

There are several assets that are frequently labelled a safe haven, in particular gold, and, more recently, Bitcoin. This paper proposes a safe haven index to benchmark safe haven assets and identify some stylized facts. The analysis shows that (i) safe haven assets are risky despite their ``safe'' label, (ii) the crisis-specific riskiness is a necessary condition to function as a strong safe haven, and (iii) safe haven asset risk can be diversified. An analysis of the COVID-19 shock in March 2020 reveals that the safe haven index briefly fell with the market contrasting previous crises
over the last years.

Keywords: safe haven, volatility, gold, government bonds, Bitcoin, COVID-19, safe assets

JEL Classification: C43, G01, G11, G12, G15

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas, A Safe Haven Index (February 22, 2021). Available at SSRN: https://ssrn.com/abstract=3641589 or http://dx.doi.org/10.2139/ssrn.3641589

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Thomas Dimpfl

University of Hohenheim ( email )

Germany

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