Download This PaperA Safe Haven Index
44 Pages Posted: 2 Jul 2020 Last revised: 28 Jan 2022
Date Written: September 03, 2024
Abstract
The literature has identified several safe haven assets but largely overlooked their collective dynamics. In this paper, we introduce a novel Safe Haven Index (SHI) designed to track the dynamics of the safe haven asset market. The index is based on the first principal component of all constituent assets and protects against extreme stock market shocks. Applying a linear factor pricing model, we demonstrate that the SHI is a priced risk factor and exhibits characteristics akin to the HML factor in Fama and French's model.
Keywords: safe haven, gold, index, financial crisis
JEL Classification: C43, G01, G11, G12, C58
Suggested Citation: Suggested Citation
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