Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach.

ABSTRACT

We test the suitability of Gold and Bitcoin as safe-haven instruments in the backdrop of the Covid-19 related equity market meltdown by implementing the newly proposed Wavelet Quantile Correlation. We employ daily returns of Bitcoin, Gold, DJIA, CAC40, NSE50, S&P 500, NASDAQ, and EUROSTOXX from 05-01-2015 to 31-12-2020. Our results show that Gold consistently exhibits safe haven properties for all the markets except NSE in the long and short run, while Bitcoin provided mixed results. We find that Gold can act as an effective hedge and diversifier as well.