The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?

Muhammad A Cheema; Robert Faff; Kenneth R Szulczyk

doi:10.1016/j.irfa.2022.102316

The 2008 global financial crisis and COVID-19 pandemic: How safe are the safe haven assets?

Int Rev Financ Anal. 2022 Oct:83:102316. doi: 10.1016/j.irfa.2022.102316. Epub 2022 Jul 28.

Authors

Muhammad A Cheema¹, Robert Faff², Kenneth R Szulczyk³

Affiliations

¹ Otago School of Business, University of Otago, Dunedin, New Zealand.
² Bond Business School, Bond University, Queensland, Australia.
³ Al Akhawayn University School of Business Administration Av Hassan II, P O Box 104 53000 Ifrane, Morocco.

Abstract

We compare the performance of safe-haven assets during the Global Financial Crisis (GFC) and COVID-19 pandemic. First, regarding the GFC, we find, intermediate (weak) safe haven evidence for US dollar, Swiss franc and T-bonds (Gold, Silver and T-bills). Second, with regard to COVID, we find gold is very risky in some settings, while silver has become extremely risky. Collectively, our findings suggest that the character of safe-haven assets has changed between the crises. Therefore, investors should exercise extreme care when investing in potential safe-haven assets during times of market stress.

Keywords: 2008 GFC; COVID-19; Safe haven assets.