A Safe Haven Index

35 Pages Posted: 2 Jul 2020 Last revised: 29 Oct 2020

See all articles by Dirk G. Baur

Dirk G. Baur

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

Thomas Dimpfl

University of Tuebingen - Department of Statistics and Econometrics

Date Written: July 2, 2020

Abstract

Gold, U.S. and German government bonds, the Swiss franc and the U.S. dollar and, more recently, Bitcoin are frequently labeled safe havens. This paper proposes a safe haven index (SHI) to benchmark safe haven assets and demonstrates that the SHI exhibits positive returns and increased volatility in crisis periods. Gold has a high safe haven beta and high risk, whereas 10-year U.S. and German government bonds have smaller betas and lower risk. In contrast, Bitcoin has a high alpha and an insignificant beta making it a "lucky safe haven''. Finally, a specific analysis of the COVID-19 shock in March 2020 reveals that the safe haven index turned briefly negative, contrasting previous crises over the last 40 years.

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

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

Suggested Citation

Baur, Dirk G. and Dimpfl, Thomas, A Safe Haven Index (July 2, 2020). 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 Tuebingen - Department of Statistics and Econometrics ( email )

Germany

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