The COVID-19 pandemic poses a serious threat to investors in the crude oil market. Furthermore, investors have an increasing need to find a safe haven in their investment portfolios when facing unprecedented risks in crude oil markets during the COVID-19 pandemic. According to a review of the literature, there are contradictory findings on which investment is the safer haven for the oil market. Therefore, this paper aims to evaluate whether bitcoin is a safer haven for the crude oil market than the commonly used gold during the COVID-19 pandemic. Three spillover measurements based on the time, and frequency domains, and a network framework are employed to quantify the return spillover effects among bitcoin, gold and three major crude oil futures markets. We divide the sample into two periods, pre-COVID-19 and post-COVID-19. The results show that bitcoin has a weak safe-haven effect on the crude oil market only over a short period, while gold maintains a good safe-haven ability for crude oil futures across various time horizons (frequencies), both before and after the outbreak of the COVID-19 pandemic. The findings of this study have important implications for policy-makers, crude oil producers and global investors. In particularly, investors cannot ignore the importance of bitcoin and gold in selecting more profitable portfolio policies when searching for safe-haven assets.
AdekoyaO. B.OliyideJ. A.OduyemiG. O. (2020). How COVID-19 upturns the hedging potentials of gold against oil and stock markets risks: Nonlinear evidences through threshold regression and Markov-regime switching models. Resources Policy, 70, 101926. https://doi.org/10.1016/j.resourpol.2020.101926
2.
AkhtaruzzamanM.BoubakerS.LuceyB. M.SensoyA. (2021). Is gold a hedge or a safe-haven asset in the COVID–19 crisis?Economic Modelling, 102, 105588. https://doi.org/10.1016/j.econmod.2021.105588
AntonakakisN.ChatziantoniouI.GabauerD. (2020). Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions. Journal of Risk and Financial Management, 13(4), 13040084. https://doi.org/10.3390/jrfm13040084
5.
BaiL.WeiY.WeiG.W.LiX. F.ZhangS. Y. (2021). Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance Research Letters, 40, 101709. https://doi.org/10.1016/j.frl.2020.101709
6.
BaiL.ZhangX. H.LiuY. T.WangQ. (2019). Economic risk contagion among major economies: New evidence from EPU spillover analysis in time and frequency domains. Physica A: Statistical Mechanics and Its Applications, 535, 122431. https://doi.org/10.1016/j.physa.2019.122431
7.
BaruníkJ.KřehlíkT. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271–296. https://doi.org/10.1093/jjfinec/nby001
BedouiR.BraiekS.GuesmiK.ChevallierJ. (2019). On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model. Energy Economics, 80, 876–889. https://doi.org/10.1016/j.eneco.2019.02.002
10.
BouriE.MolnárP.AzziG.RoubaudD.HagforsL. I. (2016). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?Finance Research Letters, 20, 192–198. https://doi.org/10.1016/j.frl.2016.09.025
11.
BouriE.ShahzadS. J. H.RoubaudD.KristoufekL.LuceyB. (2020). Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis. The Quarterly Review of Economics and Finance, 77, 156–164. https://doi.org/10.1016/j.qref.2020.03.004
12.
BredinD.ConlonT.PotìV. (2015). Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon. International Review of Financial Analysis, 41(2), 320–328. https://doi.org/10.1016/j.iref.2015.01.010
ChatziantoniouI.GabauerD.GuptaR. (2021) Integration and risk transmission in the market for crude oil: A time-varying parameter frequency connectedness approach (47). University of Pretoria Department of Economics Working Paper Series.
15.
ChenW.MaF.WeiY.LiuJ. (2020). Forecasting oil price volatility using high-frequency data: New evidence. International Review of Economics & Finance, 66(C), 1–12. https://doi.org/10.1016/j.iref.2019.10.014
16.
ConlonT.CorbetS.McgeeR. J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business and Finance, 54, 101248. https://doi.org/10.1016/j.ribaf.2020.101248
17.
ConlonT.McgeeR. (2020). Safe haven or risky hazard? Bitcoin during the covid-19 bear market. Finance Research Letters, 35, 101607. https://doi.org/10.1016/j.frl.2020.101607
18.
CorbetS.HouY. G.HuY.LarkinC.OxleyL. (2020). Any port in a storm: Cryptocurrency safe-havens during the COVID-19 pandemic. Economics Letters, 194, 109377. https://doi.org/10.1016/j.econlet.2020.109377
19.
DieboldF. X.YilmazK. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158–171. https://doi.org/10.1111/j.1468-0297.2008.02208.x
20.
DieboldF. X.YilmazK. (2011) On the network topology of variance decompositions: Measuring the connectedness of financial firms (182, pp. 119–134).
21.
DieboldF. X.YilmazK. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
22.
DuttaA.DasD.JanaR. K.VoX. V. (2020). COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin. Resources Policy, 69(C), 2020. https://doi.org/10.1016/j.resourpol.2020.101816
23.
GeuderJ.KinatederH.WagnerN. F. (2019). Cryptocurrencies as financial bubbles: The case of Bitcoin. Finance Research Letters, 31, 179–184. https://doi.org/10.1016/j.frl.2018.11.011
24.
HasbrouckJ. (1995). One security, many markets: Determining the contributions to price discovery. The Journal of Finance, 50(4), 1175–1199. https://doi.org/10.2307/2329348
25.
HuynhT. L. D.NasirM. A.VoV. X.NguyenT. T. (2020). “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet. The North American Journal of Economics and Finance, 54, 101277. https://doi.org/10.1016/j.najef.2020.101277
26.
JeffersonM. (2020). A crude future? COVID-19s challenges for oil demand, supply and prices. Energy Research & Social Science, 68, 101669. https://doi.org/10.1016/j.erss.2020.101669
27.
JiQ.ZhangD. Y.ZhaoY. Q. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71, 101526. https://doi.org/10.1016/j.irfa.2020.101526
28.
JinJ.YuJ. J.HuY.ShangY. (2019). Which one is more informative in determining price movements of hedging assets? Evidence from bitcoin, gold and crude oil markets. Physica A: Statistical Mechanics and Its Applications, 527, 121121. https://doi.org/10.1016/j.physa.2019.121121
KliberA.MarszałekP.MusiałkowskaI.ŚwierczyńskaK. (2019). Bitcoin: Safe haven, hedge or diversifier? Perception of bitcoin in the context of a country’s economic situation — a stochastic volatility approach. Physica A: Statistical Mechanics and Its Applications, 524, 246–257. https://doi.org/10.1016/j.physa.2019.04.145
LiP. P.DongZ. L. (2020). Time-varying network analysis of fluctuations between crude oil and Chinese and U.S. gold prices in different periods. Resources Policy, 68, 101749. https://doi.org/10.1016/j.resourpol.2020.101749
33.
LiX., F.LiangC.ChenZ. L.UmarM. (2022). Forecasting crude oil volatility with uncertainty indicators: New evidence. Energy Economics, 108, 105936. https://doi.org/10.1016/j.eneco.2022.105936
34.
LiX. F.WeiY.ChenX. D.MaF.LiangC.ChenW. (2020a). Which uncertainty is powerful to forecast crude oil market volatility? New evidence. International Journal of Finance & Economics, 27(4), 4279–4297. https://doi.org/10.1002/ijfe.2371
35.
LiY.LiangC.MaF.WangJ. Q. (2020b). The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic. Finance Research Letters, 36, 101749. https://doi.org/10.1016/j.frl.2020.101749
36.
LiX. F.WeiY. (2018). The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. Energy Economics, 74, 565–581. https://doi.org/10.1016/j.eneco.2018.07.011
37.
LiangC.TangL.LiY.WeiY. (2020a). Which sentiment index is more informative to forecast stock market volatility? Evidence from China. International Review of Financial Analysis, 71, 101552. https://doi.org/10.1016/j.irfa.2020.101552
38.
LiangC.WeiYLeiL. F.MaF. (2020b). Global equity market volatility forecasting: New evidence. International Journal of Finance and Economics, 27(1), 594–609. https://doi.org/10.1002/ijfe.2170
39.
LiangC.WeiY.LiX. F.ZhangX. H.ZhangY. F. (2019). Uncertainty and crude oil market volatility: New evidence. Applied Economics, 52(27), 2945–2959. https://doi.org/10.1080/00036846.2019.1696943
40.
LiuY.T.WeiY.LiuY.LiW. J. (2020). Forecasting oil price by hierarchical shrinkage in dynamic parameter models. Discrete Dynamics in Nature and Society, 2020(4), 1–12. https://doi.org/10.1155/2020/6640180
41.
LiuY. T.WeiY.WangQ.LiuY. (2022). International stock market risk contagion during the COVID-19 pandemic. Finance Research Letters, 45, 102145. https://doi.org/10.1016/j.frl.2021.102145
42.
MarianaC. D.EkaputraI. A.HusodoZ. A. (2021). Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?Finance Research Letters, 38, 101798. https://doi.org/10.1016/j.frl.2020.101798
43.
MensiW.SensoyA.VoX. V.KangS. H. (2020). Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices. Resources Policy, 69, 101829. https://doi.org/10.1016/j.resourpol.2020.101829
44.
MokniK.HammoudehS.AjmiA. N.YoussefM. (2020). Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?Resources Policy, 69, 101819. https://doi.org/10.1016/j.resourpol.2020.101819
45.
MoremaK.Bonga-BongaL. (2020). The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications. Resources Policy, 68, 101740. https://doi.org/10.1016/j.resourpol.2020.101740
SongC. M.LiC. G. (2015). Relationship between Chinese and international crude oil prices: A VEC-TARCH approach. Mathematical Problems in Engineering, 2015, 1–10. https://doi.org/10.1155/2015/842406
52.
StensåsA.NygaardM. F.KyawK.TreepongkarunaS. (2019). Can bitcoin be a diversifier, hedge or safe haven tool?Cogent Economics and Finance, 7(1), 1593072. https://doi.org/10.1080/23322039.2019.1593072
53.
SunX. L.WangJ.YaoY. Z.LiJ. Y.LiJ. P. (2020). Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. International Review of Financial Analysis, 68, 101271. https://doi.org/10.1016/j.irfa.2018.10.008
54.
ThampanyaN.NasirM. A.HuynhT. L. D. (2020). Asymmetric correlation and hedging effectiveness of gold and cryptocurrencies: From pre-industrial to the 4th industrial revolution. Technological Forecasting and Social Change, 159, 120195. https://doi.org/10.1016/j.techfore.2020.120195
55.
WangQ.WeiWangY. Y.LiuY. T. (2022). On the safe-haven ability of bitcoin, gold, and commodities for international stock markets: Evidence from spillover index analysis. Discrete Dynamics in Nature and Society, 1, 1610. https://doi.org/10.1155/2022/9520486
56.
WeiY.BaiL.LiX. F. (2022a). Normal and extreme interactions among nonferrous metal futures: A new quantile-frequency connectedness approach. Finance Research Letters, 47, 102855. https://doi.org/10.1016/j.frl.2022.102855
57.
WeiY.ZhangY. J.WangY. D. (2022b). Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent. International Review of Financial Analysis, 81, 102100. https://doi.org/10.1016/j.irfa.2022.102100
58.
WeiY.LiuJ.LaiX. DHuY. (2017). Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?Energy Economics, 68, 141–150. https://doi.org/10.1016/j.eneco.2017.09.016
59.
WeiY.NanH.WeiG. W. (2020b). The impact of employee welfare on innovation performance: Evidence from China’s manufacturing corporations. International Journal of Production Economics, 228, 107753. https://doi.org/10.1016/j.ijpe.2020.107753
60.
WeiY.QinS. K.LiX. F.ZhuS.WeiG. W. (2019). Oil price fluctuation, stock market and macroeconomic fundamentals: Evidence from China before and after the financial crisis. Finance Research Letters, 30, 23–29. https://doi.org/10.1016/j.frl.2019.03.028
61.
WeiY.WangZ.LiD. X.ChenX. D. (2021). Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?Finance Research Letters, 47, 102648. https://doi.org/10.1016/j.frl.2021.102648
62.
YangC.WangX. Y.GaoW. (2022). Is bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach. The North American Journal of Economics and Finance, 62, 101747. https://doi.org/10.1016/j.najef.2022.101747
63.
ZhangQ.DiP.FarnooshA. (2021). Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models. Energy, 223, 120050. https://doi.org/10.1016/j.energy.2021.120050
