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IZA Discussion Paper No. 14888
November 2021
A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic
Huseyin Ozdemir, Zeynel Abidin Ozdemir

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both hedge and safe-haven properties of gold, Bitcoin, and crude oil against G-7 stock markets by using daily return and volatility data from September 2013 to October 2021. Our empirical findings show that the hedging effectiveness of gold, Bitcoin, and crude oil varies overtime before the Covid-19 pandemic. Furthermore, according to our analysis results, only Bitcoin acts as a safe haven against G-7 stock markets during most of the Covid-19 pandemic time.

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Mark Fallak
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Olga Nottmeyer
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+352 585-855-501
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Christina Gathmann
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The IZA@LISER Network is a global community of scholars dedicated to excellence in labor economics and related fields, now coordinated at the Luxembourg Institute of Socio-Economic Research (LISER) following its transition from Bonn.

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