The roles of gold, US dollar, and bitcoin as safe-haven assets in times of crisis

Using the GJR-GARCH method, this study examines the safe-haven role of gold, US dollar, and Bitcoin over a period including the global financial crisis, the COVID-19 pandemic and the Russia-Ukraine conflict from 3 April 2006 to 19 May 2023. The study supports the hypothesis that the safe-haven role of assets changes over periods of crisis. Specifically, gold loses its role as a safe-haven asset during the COVID-19 pandemic, but this role has been restored in the Dutch, US and German markets during the Russia-Ukraine conflict. Similarly, Bitcoin is not a safe-haven asset during the COVID-19 pandemic but is a strong safe-haven asset for the stock markets of some European countries, and a weak safe-haven asset for China when the Russia-Ukraine conflict occurred. Only the USD acts as a stable safe-haven asset through periods of crisis. However, this role is weakened in Russia. These results partly help investors and portfolio managers choose a safe haven for their assets, especially during volatile market periods. Investors often want to protect their assets by diversifying their investment portfolios or using risk prevention tools. Especially when the financial market encounters instability caused by the crisis, investors tend to look for safe-haven assets such as precious metals, foreign currencies, and cryptocurrencies. This study re-evaluates the safe-haven role of gold, USD, and Bitcoin during the Russia-Ukraine conflict, then compares the research results with two previous crises, GFC 2008 and the COVID-19 pandemic. Research results help investors choose appropriate assets during market volatility.